Essays on long-term contrarian strategies
157 p.
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| Format: | Theses and Dissertations |
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2011
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| Online Access: | https://hdl.handle.net/10356/47327 |
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| Institution: | Nanyang Technological University |
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sg-ntu-dr.10356-473272024-01-12T10:19:51Z Essays on long-term contrarian strategies Kong, Yoon Kee Charlie Charoenwong Nanyang Business School DRNTU::Business::Finance::Stock exchanges 157 p. This dissertation consists of three essays. Essay 1 investigates whether a long-term contrarian strategy of buying industry losers and selling industry winners is profitable. The results show that industry contrarian strategies are profitable for the whole sample period, first and second half sub-periods. Contrarian investment period profits increase as prior losses increase, consistent with overreaction. Microstructure effects affect the returns of industry contrarian, losers and winners portfolios, particularly those of the losers but for longer tenors, industry contrarian profits remain economically significant. Excluding January decreases contrarian profits, consistent with tax loss selling, but they still remain. DOCTOR OF PHILOSOPHY (NBS) 2011-12-27T07:06:12Z 2011-12-27T07:06:12Z 2007 2007 Thesis Kong, Y. K. (2007). Essays on long-term contrarian strategies. Doctoral thesis, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/47327 10.32657/10356/47327 Nanyang Technological University application/pdf |
| institution |
Nanyang Technological University |
| building |
NTU Library |
| continent |
Asia |
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Singapore Singapore |
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NTU Library |
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DR-NTU |
| topic |
DRNTU::Business::Finance::Stock exchanges |
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DRNTU::Business::Finance::Stock exchanges Kong, Yoon Kee Essays on long-term contrarian strategies |
| description |
157 p. |
| author2 |
Charlie Charoenwong |
| author_facet |
Charlie Charoenwong Kong, Yoon Kee |
| format |
Theses and Dissertations |
| author |
Kong, Yoon Kee |
| author_sort |
Kong, Yoon Kee |
| title |
Essays on long-term contrarian strategies |
| title_short |
Essays on long-term contrarian strategies |
| title_full |
Essays on long-term contrarian strategies |
| title_fullStr |
Essays on long-term contrarian strategies |
| title_full_unstemmed |
Essays on long-term contrarian strategies |
| title_sort |
essays on long-term contrarian strategies |
| publishDate |
2011 |
| url |
https://hdl.handle.net/10356/47327 |
| _version_ |
1789483040495370240 |