Profits From Buying Losers And Selling Winners In The London Stock Exchange

Abstract : DeBondt and Thaler (1985) have challenged the notions of market efficiency and of rational investor behaviour. According to their findings stock portfolios that experience negative returns tend to outperform portfolios that experience positive returns, during the subsequent period. In other words, stock returns may be predictable, and this may be due to excessive investor optimism and pessimism. This paper investigates the existence of such contrarian profits for stocks listed in the London Stock Exchange. The results indicate that contrarian strategies are profitable for UKstocks and more pronounced for extreme market capitalisation stocks. These profits persist even after the sample is adjusted for market frictions, and irrespective of whether raw or risk-adjusted returns are used.
Type de document :
Article dans une revue
Journal of Business and Economics Research, 2003, 1 (11), pp.59-66. 〈http://www.cluteinstitute.com/ojs/index.php/JBER/article/viewFile/3069/3117〉
Liste complète des métadonnées

https://hal-audencia.archives-ouvertes.fr/hal-01096057
Contributeur : Sylvia Cheminel <>
Soumis le : mardi 16 décembre 2014 - 16:47:29
Dernière modification le : jeudi 19 juillet 2018 - 16:58:09

Identifiants

  • HAL Id : hal-01096057, version 1

Collections

Citation

Antonios Antoniou, Emilios C. Galariotis, Spyros I. Spyrou. Profits From Buying Losers And Selling Winners In The London Stock Exchange. Journal of Business and Economics Research, 2003, 1 (11), pp.59-66. 〈http://www.cluteinstitute.com/ojs/index.php/JBER/article/viewFile/3069/3117〉. 〈hal-01096057〉

Partager

Métriques

Consultations de la notice

103