Essays on long-term contrarian strategies
Kong, Yoon Kee
Date of Issue2007
College of Business (Nanyang Business School)
This dissertation consists of three essays. Essay 1 investigates whether a long-term contrarian strategy of buying industry losers and selling industry winners is profitable. The results show that industry contrarian strategies are profitable for the whole sample period, first and second half sub-periods. Contrarian investment period profits increase as prior losses increase, consistent with overreaction. Microstructure effects affect the returns of industry contrarian, losers and winners portfolios, particularly those of the losers but for longer tenors, industry contrarian profits remain economically significant. Excluding January decreases contrarian profits, consistent with tax loss selling, but they still remain.
Nanyang Technological University