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 D. Lee

ESG Research Services Australia

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 David, 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 David Lee

ESG Research Services Australia

4070 Brisbane, Queensland
Australia

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