Skip to Main content Skip to Navigation
Journal articles

Sources of contrarian profits and return predictability in emerging markets

Abstract : 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 rebalanced size-sorted subsamples instead of a one-off arrangement throughout the sample period. Other key contributions relate to: (a) testing the effect on the empirical results of the choice of an equally as opposed to a value weighted index as a proxy for the market portfolio, and (b) testing for the January effect following the ongoing discussion and disagreement in the literature on seasonality. Empirical findings suggest that short-run contrarian profits are present in the ASE. Furthermore, although both underreaction to common factors and overreaction to the firm-specific return component, appear to contribute to profits; the contribution of overreaction is much larger than that of underreaction. Not only so, but any contribution of the later is restricted to the month of January. Seasonality however has no effect on firm specific overreaction. The selection of a value weighted or an equally weighted index does not alter the main findings, and thus does not explain predictability for this market.
Document type :
Journal articles
Complete list of metadatas

https://hal-audencia.archives-ouvertes.fr/hal-01096043
Contributor : Sylvia Cheminel <>
Submitted on : Tuesday, December 16, 2014 - 4:37:03 PM
Last modification on : Thursday, July 19, 2018 - 4:58:09 PM

Identifiers

Collections

Citation

Emilios C. Galariotis. Sources of contrarian profits and return predictability in emerging markets. Applied Financial Economics, Taylor & Francis (Routledge), 2004, 14 (14), pp.1027-1034. ⟨10.1080/0960310042000261802⟩. ⟨hal-01096043⟩

Share

Metrics

Record views

141