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Short-term contrarian investing--is it profitable? ... Yes and No

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  • Lee, Darren D.
  • Chan, Howard
  • Faff, Robert W.
  • Kalev, Petko S.

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  • Lee, Darren D. & Chan, Howard & Faff, Robert W. & Kalev, Petko S., 2003. "Short-term contrarian investing--is it profitable? ... Yes and No," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 385-404, December.
    • Handle: RePEc:eee:mulfin:v:13:y:2003:i:4-5:p:385-404
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    19. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. "Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-181, March.
    20. Mun, Johnathan C. & Vasconcellos, Geraldo M. & Kish, Richard, 2000. "The Contrarian/Overreaction Hypothesis: An analysis of the US and Canadian stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 53-72.
    21. Conrad, Jennifer & Kaul, Gautam, 1989. "Mean Reversion in Short-Horizon Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 225-240.
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    23. Zarowin, Paul, 1990. "Size, Seasonality, and Stock Market Overreaction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 113-125, March.
    24. Brennan, Michael J & Jegadeesh, Narasimhan & Swaminathan, Bhaskaran, 1993. "Investment Analysis and the Adjustment of Stock Prices to Common Information," The Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 799-824.
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    Cited by:

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    2. Tafadzwa Mugwagwa & Vikash Ramiah & Imad Moosa, 2015. "The Profitability of Option-Based Contrarian Strategies: An Empirical Analysis," International Review of Finance, International Review of Finance Ltd., vol. 15(1), pages 1-26, March.
    3. Demirer, Rıza & Yuksel, Asli & Yuksel, Aydin, 2017. "Flight to quality and the predictability of reversals: The role of market states and global factors," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1445-1454.
    4. Daniel Chai & Manapon Limkriangkrai & Philip Inyeob Ji, 2017. "Momentum in weekly returns: the role of intermediate-horizon past performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 45-68, April.
    5. Kevin Krieger & Justin L. Davis & James Strode, 2021. "Patience is a virtue: exploiting behavior bias in gambling markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(4), pages 735-750, October.
    6. Ana-Maria Fuertes & Elena Kalotychou & Natasa Todorovic, 2015. "Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 251-278, August.
    7. Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M., 2008. "Does intraday technical analysis in the U.S. equity market have value?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 199-210, March.
    8. Shen, Qian & Szakmary, Andrew C. & Sharma, Subhash C., 2005. "Momentum and contrarian strategies in international stock markets: Further evidence," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 235-255, July.
    9. Daniel Chai & Binh Do, 2016. "Co-existence of short-term reversals and momentum in the Australian equity market," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 55-76, February.
    10. Fischer, Thomas & Krauss, Christopher, 2018. "Deep learning with long short-term memory networks for financial market predictions," European Journal of Operational Research, Elsevier, vol. 270(2), pages 654-669.
    11. Juan Yao & Graham Partington & Max Stevenson, 2005. "Run length and the predictability of stock price reversals," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(4), pages 653-671, December.
    12. Ramiah, Vikash & Cheng, Ka Yeung & Orriols, Julien & Naughton, Tony & Hallahan, Terrence, 2011. "Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 140-156, January.
    13. Alexander Subbotin & Thierry Chauveau, 2010. "Price Dynamics in a Market with Heterogeneous Investment Horizons and Boundedly Rational Traders," Documents de travail du Centre d'Economie de la Sorbonne 10048, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    14. Chauveau, Th. & Subbotin, A., 2013. "Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1040-1065.

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