Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/47327
Title: Essays on long-term contrarian strategies
Authors: Kong, Yoon Kee
Keywords: DRNTU::Business::Finance::Stock exchanges
Issue Date: 2007
Source: Kong, Y. K. (2007). Essays on long-term contrarian strategies. Doctoral thesis, Nanyang Technological University, Singapore.
Abstract: 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.
Description: 157 p.
URI: https://hdl.handle.net/10356/47327
DOI: 10.32657/10356/47327
Rights: Nanyang Technological University
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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