Skip to Main content Skip to Navigation
Journal articles

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

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.
Document type :
Journal articles
Complete list of metadatas

https://hal-audencia.archives-ouvertes.fr/hal-01096022
Contributor : Sylvia Cheminel <>
Submitted on : Tuesday, December 16, 2014 - 4:18:01 PM
Last modification on : Thursday, July 19, 2018 - 4:58:09 PM

Links full text

Identifiers

Collections

Citation

Antonios Antoniou, Emilios C. Galariotis, Spyros I. Spyrou. Short-term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?. Journal of Business Finance and Accounting, Wiley, 2006, 33 (5-6), pp.839-867. ⟨10.1111/j.1468-5957.2006.00003.x⟩. ⟨hal-01096022⟩

Share

Metrics

Record views

132