We examine short-term investor reaction to extreme events in the UK equity market for the period 1989 to 2004 and find that the market reaction to shocks for large capitalization stock portfolios is consistent with the Efficient Market Hypothesis, i.e. all information appears to be incorporated...

Acknowledging a gap in the literature, the study performs an investigation on short-term contrarian profits and their sources for the Athens Stock Exchange (ASE). The methodology is based on Jegadeesh and Titman (Review of Financial Studies, 8, 973-93, 1995); however, this paper employs annually...

On face value studies documenting contrarian profits challenge the efficient markets paradigm. However most of them assume that systematic risk is constant when in reality it varies (Ross, 1989) especially in emerging markets (Aggarwal et al., 1999). The study in the first instance investigates...