The study evaluates the long-run reversal effect in stock returns for the Indian stock market over the sample period from January 1997 to March 2013. The empirical findings from the study provide support in favor of long-run return reversal effect wherein past long-run loser stocks outperform...

The study explored the effectiveness of momentum and long-term contrarian strategy in the Indian stock market using data from National Stock Exchange (NSE). The study further examined the similarities and difference in momentum and long-term contrarian profitability using multiple return...

This paper studies the Indian stock market within the framework of momentum and contrarian strategies, using the monthly-adjusted prices of all the stocks listed on National Stock exchange (NSE) having complete data for the sample period January 1997 to March 2013. The findings reveal the...

The paper investigates Indian momentum profitability along with its performance stability round the year using the stock price data from National Stock Exchange (NSE). Results show evidence in favor of momentum profitability over the sample period from 1997 to 2013. Moreover, the momentum...

We investigate the relative ability of two measures of the market implied cost of capital to predict aggregate equity market returns. One is Aggregate ICC, which is a weighted average of individual firms' ICC's. The other is ICC calculated using index information (Index ICC). Index ICC predicts...

Overreaction Effect can be traced back to 1980's when DeBondt and Thaler (1986) argued that there existed a strong tendency for both low and high performing securities in one period to experience reversal in following years. Since then it has become one of the grey areas in finance and lead to...

This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...

This paper approaches the opportunities for contrarian and momentum profits during the periods of high trading volume preceded by stock prices shocks. We investigate these aspects for ten stocks from New York Stock Exchange. We found that more than three quarters of the periods of high trading...

Developing economies behave alike; they have got communalities with reference to economic issues. This study is an attempt to gauge the performance of capital markets of selected developing economies, which include Pakistan, Bangladesh, Indonesia, Brazil and Argentina. The problem, which has been...