Further Evidence on the Short-Term Contrarian Investment Strategy
Posted: 21 Jul 2003
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
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