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Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong

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Author Info

  • Ramiah, Vikash
  • Cheng, Ka Yeung
  • Orriols, Julien
  • Naughton, Tony
  • Hallahan, Terrence

Abstract

We investigate the profitability of contrarian investment strategies for equities listed on the Hong Kong Stock Exchange (HKEX), which are separated into cross-listed firms and firms listed only in Hong Kong. We also investigate the relationship between stock returns and past trading volume for these equities. We report significantly higher contrarian profits for the period investigated and find that this is a persistent feature of stock returns for cross-listed companies. We also document that contrarian portfolios earn returns as high as 8.01% per month for the dually-traded companies and just 1.83% for only HKEX-listed firms. We find that volume has only a limited ability to explain contrarian profits. All extreme profits disappeared after adjusting for the Fama and French three-factor model.

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Bibliographic Info

Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 19 (2011)
Issue (Month): 1 (January)
Pages: 140-156

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Handle: RePEc:eee:pacfin:v:19:y:2011:i:1:p:140-156

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Web page: http://www.elsevier.com/locate/pacfin

Related research

Keywords: Contrarian strategy Cross-listings Turnover ratio Hong Kong Multifactor model;

References

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Cited by:
  1. Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012. "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 198-227.

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