Contrarian Profits and the Overreaction Hypothesis: The Case of the Athens Stock Exchange

Posted: 13 May 2001

See all articles by Antonios Antoniou

Antonios Antoniou

Wealth Associates

Emilios C. Galariotis

Audencia Business School

Spyros I. Spyrou

Athens University of Economics and Business - Department of Accounting and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: undated

Abstract

This paper investigates the existence of contrarian profits and the sources of these profits, for the Athens Stock Exchange (ASE). The empirical analysis decomposes contrarian profits to sources due to common factor reaction, overreaction to firm-specific information, and profits not related to the previous two terms, as suggested by Jegadesh and Titman (1995). Furthermore, the paper examines (i) size-sorted sub-samples that are rebalanced annually, and (ii) whether the results are due to the well-known January seasonal. The findings suggest that, when January returns are excluded, contrarian profits in the ASE are due more to firm specific overreaction than reaction to a common factor. This implies that the delayed reaction phenomenon in the ASE is restricted to January. This result is reinforced when we allow for time variations in factor sensitivities.

Keywords: Overreaction, delayed reaction, contrarian profits, emerging stock markets

JEL Classification: G1

Suggested Citation

Antoniou, Antonios and Galariotis, Emilios C. and Spyrou, Spyros I., Contrarian Profits and the Overreaction Hypothesis: The Case of the Athens Stock Exchange (undated). EFMA 2001 Lugano Meetings. Available at SSRN: https://ssrn.com/abstract=269836 or http://dx.doi.org/10.2139/ssrn.269836

Antonios Antoniou

Wealth Associates ( email )

Alpine House,
Honeypot Lane
London, NW9 9RX
United Kingdom

Emilios C. Galariotis

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

HOME PAGE: http://faculte-recherche.audencia.com/en/faculty/faculty-member-cvs/emilios-galariotis/

Spyros I. Spyrou (Contact Author)

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission Street
GR-104 34 Athens
Greece

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