Short-horizon Contrarian and Momentum Strategies in Asian Markets: An Integrated Analysis

• Main Authors: McInish, Thomas H., Ding, David K., PYUN, Chong Soo, Wongchoti, Udomsak
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: Trading strategies; Trading activities; Profitability; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3592; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4591/viewcontent/Short_horizon_contrarian_2008_av.pdf
• Institution: Singapore Management University

In this paper, we test the profitability of short-term contrarian and momentum strategies, which take into account the effects of trading activity, size/value characteristics, and asymmetric investor responses to news regarding stock markets in Japan, Taiwan, Korea, Hong Kong, Malaysia, Thailand, an...