Investigation of contrarian strategies in the China market.
This study investigates the existence of contrarian profits in China stock markets when we buy losers and sell winners. The findings show that in the absence of transaction costs, short-term contrarian strategies do not generate significant profits, whereas significant intermediate and long-term con...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/15289 |
| _version_ | 1811693213061218304 |
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| author | Tan, Li Ling. Ling, Yuet Shan. Lin, Brenda Tingfang. |
| author2 | Chang Xin |
| author_facet | Chang Xin Tan, Li Ling. Ling, Yuet Shan. Lin, Brenda Tingfang. |
| author_sort | Tan, Li Ling. |
| collection | NTU |
| description | This study investigates the existence of contrarian profits in China stock markets when we buy losers and sell winners. The findings show that in the absence of transaction costs, short-term contrarian strategies do not generate significant profits, whereas significant intermediate and long-term contrarian profits exist. We carry out a two-stage regression to control for risks identified by the Fama and French three-factor model and establish that past returns are predictive of future returns. Our results are robust when using Fama
and MacBeth regression. Taken together, our findings suggest that long-term contrarian
profits exist in the China stock markets. |
| first_indexed | 2024-10-01T06:48:06Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/15289 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:48:06Z |
| publishDate | 2009 |
| record_format | dspace |
| spelling | ntu-10356/152892023-05-19T06:16:18Z Investigation of contrarian strategies in the China market. Tan, Li Ling. Ling, Yuet Shan. Lin, Brenda Tingfang. Chang Xin Nanyang Business School DRNTU::Business::Finance::Stock exchanges This study investigates the existence of contrarian profits in China stock markets when we buy losers and sell winners. The findings show that in the absence of transaction costs, short-term contrarian strategies do not generate significant profits, whereas significant intermediate and long-term contrarian profits exist. We carry out a two-stage regression to control for risks identified by the Fama and French three-factor model and establish that past returns are predictive of future returns. Our results are robust when using Fama and MacBeth regression. Taken together, our findings suggest that long-term contrarian profits exist in the China stock markets. BUSINESS 2009-04-23T06:00:21Z 2009-04-23T06:00:21Z 2009 2009 Final Year Project (FYP) http://hdl.handle.net/10356/15289 en Nanyang Technological University 57 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Stock exchanges Tan, Li Ling. Ling, Yuet Shan. Lin, Brenda Tingfang. Investigation of contrarian strategies in the China market. |
| title | Investigation of contrarian strategies in the China market. |
| title_full | Investigation of contrarian strategies in the China market. |
| title_fullStr | Investigation of contrarian strategies in the China market. |
| title_full_unstemmed | Investigation of contrarian strategies in the China market. |
| title_short | Investigation of contrarian strategies in the China market. |
| title_sort | investigation of contrarian strategies in the china market |
| topic | DRNTU::Business::Finance::Stock exchanges |
| url | http://hdl.handle.net/10356/15289 |
| work_keys_str_mv | AT tanliling investigationofcontrarianstrategiesinthechinamarket AT lingyuetshan investigationofcontrarianstrategiesinthechinamarket AT linbrendatingfang investigationofcontrarianstrategiesinthechinamarket |