T. Mandalis (Karaoli & Dimitriou 67-69, 18532, Athens, Greece) S. I. Spyrou (Athens University of Economics & Business, Department of accounting and Finance)
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This paper examines the predictability of equity returns for the Athens Stock Exchange (ASE). We use all stocks listed in the ASE for the period 1989-2001 and find statistically significant momentum profits for short-term strategies and statistically and economically significant contrarian profits for mid- to long- term strategies. These profits are not due to changes in systematic risk or bid-ask biases. Furthermore, portfolio returns seem to be sensitive to the length of the formation period employed to construct the portfolio.
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Article provided by Cyprus Economic Society and University of Cyprus in its journal Ekonomia.