Return Predictability, Contrarian & Momentum Profits:The Case of the Athens Stock Exchange
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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Volume (Year): 7 (2004)
Issue (Month): 1 (Summer)
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