Evidence of Morocco Industry Long-Term Return Contrarian
International Journal of Business and Management; Vol. 11, No. 1; 2016, Forthcoming
8 Pages Posted: 21 Dec 2015
Date Written: December 18, 2015
In a landmark paper, Bornholt, Gharaibeh, and Malin (2015) show strong evidence of contrarian in the long-term returns of U.S. industries over formation periods (up to 132 months), this paper investigates whether there is evidence of contrarian in the long-term returns of 17 Morocco industries using monthly data covering the period from January 1995 to April 2014. This study finds strong evidence of long-term return contrarian in industry returns from strategy with long formation period lengths of 108, 120 and132 months and this finding confirms the Bornholt, et al. (2015) finding. The finding of this paper suggests that industry-level return contrarian is not simply a reflection of the stock-level contrarian. These contrarians are difficult to reconcile with overreaction.
Keywords: Morocco Stock Exchange (MSE), long-term return contrarian, Fama–French three-factor model.
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