Further Evidence on the Short-Term Contrarian Investment Strategy

We document further evidence of the potential profitability of short-term contrarian investment strategies using Australian data. Such profits are robust to two portfolio weighting schemes, bid-ask bounce, risk, seasonality and volume. When transaction costs are introduced, the profitability largely disappears

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Year of publication:	[2003]
Authors:	Chan, H.
Other Persons:	Faff, Robert W. (contributor) ; Kalev, Petko S. (contributor) ; Lee, Darren (contributor)
Publisher:	[2003]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Finance Letters, Vol. 1, No. 2, 2003 Volltext nicht verfügbar
Classification:	G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012786543