Further Evidence on the Short-Term Contrarian Investment Strategy

Posted: 21 Jul 2003

See all articles by H. Chan

H. Chan

University of Melbourne - Department of Finance; Monash University - Department of Accounting

Robert W. Faff

University of Queensland

Petko S. Kalev

La Trobe Business School

Darren Lee

Charles Sturt University - Faculty of Business, Justice and Behavioural Sciences

Abstract

We document further evidence of the potential profitability of short-term contrarian investment strategies using Australian data. Such profits are robust to two portfolio weighting schemes, bid-ask bounce, risk, seasonality and volume. When transaction costs are introduced, the profitability largely disappears.

Keywords: Short-term Contrarian Investing, Market Overreaction

JEL Classification: G14

Suggested Citation

Chan, Howard and Faff, Robert W. and Kalev, Petko S. and Lee, Darren, Further Evidence on the Short-Term Contrarian Investment Strategy. Finance Letters, Vol. 1, No. 2, 2003, Available at SSRN: https://ssrn.com/abstract=414761

Howard Chan

University of Melbourne - Department of Finance ( email )

Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia

Monash University - Department of Accounting ( email )

Building 11E
Clayton, Victoria 3800
Australia

Robert W. Faff (Contact Author)

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Petko S. Kalev

La Trobe Business School ( email )

Department of Economics and Finance
Donald Whitehead Building: Level 3, DWB313
Bundoora, Victoria 3086
Australia
+613 9479 6285 (Phone)
+613 9479 1654 (Fax)

HOME PAGE: http://www.latrobe.edu.au/business/about/staff/profile?uname=PKalev

Darren Lee

Charles Sturt University - Faculty of Business, Justice and Behavioural Sciences ( email )

Panorama Avenue
Bathurst, NSW 2678
Australia

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