In this paper, we test the profitability of short-term contrarian and momentum strategies, which take into account the effects of trading activity, size/value characteristics, and asymmetric investor responses to news regarding stock markets in Japan, Taiwan, Korea, Hong Kong, Malaysia,...

Can trading volume help unravel the long-term overreaction puzzle? With portfolios of non-Samp;P 500 NYSE stocks, we show that (a) both the high- and low-volume (abnormal volume) contrarian portfolios earn a much higher market-adjusted excess return than the normal-volume contrarian ortfolio,...