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Recent evidence on the performance and riskiness of contrarian portfolios

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  • Emilios C. Galariotis

Abstract

The paper assesses the most recent performance, persistence and riskiness of contrarian portfolios. Evidence from the major world and European market of France shows that such portfolios appear profitable on average, but their performance is not persistent from one holding period to the next; hence there exist inherent risks, especially for investors that remain in markets for up to two consecutive investment periods. These risks, as measured by the CAPM (traditional, and less traditional versions that are meant to capture timing) and the Fama--French model, are not systematic and they are not related to market timing. Overall, taking only long positions in normal markets and hedged positions following market shocks seems to be the most promising route for contrarians in France.

Suggested Citation

  • Emilios C. Galariotis, 2012. "Recent evidence on the performance and riskiness of contrarian portfolios," The European Journal of Finance, Taylor & Francis Journals, vol. 18(7), pages 603-617, September.
    • Handle: RePEc:taf:eurjfi:v:18:y:2012:i:7:p:603-617
    DOI: 10.1080/1351847X.2011.628795
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    Cited by:

    1. Kobana Abukari & Isaac Otchere, 2020. "Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 471-505, December.

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