IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-01096022.html
   My bibliography  Save this paper

Short-term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?

Author

Listed:
  • Antonios Antoniou

    (Durham Business School - Durham University)

  • Emilios C. C Galariotis

    (Durham Business School - Durham University)

  • Spyros I. Spyrou

Abstract

This paper provides evidence on short-term contrarian profits and their sources for the London Stock Exchange. Profits are decomposed to sources due to factors derived from the Fama and French (1996) three-factor model. For the empirical testing, size-sorted sub-samples are used, and adjustments for infrequent trading and bid-ask biases are also made. Results indicate that UK short-term contrarian strategies are profitable and more pronounced for extreme market capitalization stocks. These profits persist even when the sample is adjusted for market frictions, risk, seasonality, and irrespective of whether equally-weighted or value-weighted portfolios are employed. The most important factor that drives contrarian profits appears to be investor overreaction to firm-specific information.

Suggested Citation

  • Antonios Antoniou & Emilios C. C Galariotis & Spyros I. Spyrou, 2006. "Short-term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?," Post-Print hal-01096022, HAL.
    • Handle: RePEc:hal:journl:hal-01096022
    DOI: 10.1111/j.1468-5957.2006.00003.x
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Antonios Antoniou & Emilios C. C Galariotis & Spyros I. Spyrou, 2006. "The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach," Post-Print hal-01096031, HAL.
    2. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis," MPRA Paper 42510, University Library of Munich, Germany, revised 18 Sep 2012.
    3. Galariotis, Emilios C., 2010. "What should we know about momentum investing? The case of the Australian Security Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(4), pages 369-389, September.
    4. John Cotter & Niall McGeever, 2018. "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers 201804, Geary Institute, University College Dublin.
    5. Galariotis, Emilios C. & Holmes, Phil & Ma, Xiaodong S., 2007. "Contrarian and momentum profitability revisited: Evidence from the London Stock Exchange 1964-2005," Journal of Multinational Financial Management, Elsevier, vol. 17(5), pages 432-447, December.
    6. Michou, Maria & Mouselli, Sulaiman & Stark, Andrew, 2014. "On the differences in measuring SMB and HML in the UK – Do they matter?," The British Accounting Review, Elsevier, vol. 46(3), pages 281-294.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-01096022. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.