IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v8y1999i3p215-234.html
   My bibliography  Save this article

Tests of the Contrarian Investment Strategy Evidence from the French and German stock markets

Author

Listed:
  • Mun, Johnathan C.
  • Vasconcellos, Geraldo M.
  • Kish, Richard

Abstract

No abstract is available for this item.

Suggested Citation

  • Mun, Johnathan C. & Vasconcellos, Geraldo M. & Kish, Richard, 1999. "Tests of the Contrarian Investment Strategy Evidence from the French and German stock markets," International Review of Financial Analysis, Elsevier, vol. 8(3), pages 215-234, March.
  • Handle: RePEc:eee:finana:v:8:y:1999:i:3:p:215-234
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(99)00016-2
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
    3. Ashley, Richard A. & Patterson, Douglas M., 1986. "A Nonparametric, Distribution-Free Test for Serial Independence in Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(2), pages 221-227, June.
    4. Dissanaike, Gishan, 1994. "On the computation of returns in tests of the stock market overreaction hypothesis," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1083-1094, December.
    5. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    6. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
    7. Corrado, Charles J. & Zivney, Terry L., 1992. "The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 465-478, September.
    8. Badrinath, S G & Chatterjee, Sangit, 1991. "A Data-Analytic Look at Skewness and Elongation in Common-Stock-Return Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(2), pages 223-233, April.
    9. Chopra, Navin & Lakonishok, Josef & Ritter, Jay R., 1992. "Measuring abnormal performance : Do stocks overreact?," Journal of Financial Economics, Elsevier, vol. 31(2), pages 235-268, April.
    10. Corrado, Charles J. & Schatzberg, John, 1990. "A Nonparametric Distribution-Free Test for Serial Independence in Stock Returns: A. Correction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(3), pages 411-415, September.
    11. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    12. Ashley, Richard & Patterson, Douglas, 1990. "A Nonparametric Distribution-Free Test for Serial Independence in Stock Returns: A Comment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(3), pages 417-418, September.
    13. Zivney, Terry L & Thompson, Donald J, II, 1989. "The Specification and Power of the Sign Test in Measuring Security Price Performance: Comments and Analysis," The Financial Review, Eastern Finance Association, vol. 24(4), pages 581-588, November.
    14. De Bondt, Werner F M & Thaler, Richard H, 1987. "Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-581, July.
    15. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-163, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kang, Joseph & Liu, Ming-Hua & Ni, Sophie Xiaoyan, 2002. "Contrarian and momentum strategies in the China stock market: 1993-2000," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 243-265, June.
    2. Lobe, Sebastian & Rieks, Johannes, 2011. "Short-term market overreaction on the Frankfurt stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 113-123, May.
    3. Mazouz, Khelifa & Bowe, Michael, 2006. "The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 1-20.
    4. Sharneet Singh Jagirdar & Pradeep Kumar Gupta, 2023. "Value and Contrarian Investment Strategies: Evidence from Indian Stock Market," JRFM, MDPI, vol. 16(2), pages 1-19, February.
    5. William Forbes & Egor Kiselev & Len Skerratt, 2023. "The stability and downside risk to contrarian profits: Evidence from the S&P 500," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 733-750, January.
    6. Ramiah, Vikash & Cheng, Ka Yeung & Orriols, Julien & Naughton, Tony & Hallahan, Terrence, 2011. "Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 140-156, January.
    7. Ramiah, Vikash & Xu, Xiaoming & Moosa, Imad A., 2015. "Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 89-100.
    8. Mark Schaub, 2006. "Investor overreaction to going concern audit opinion announcements," Applied Financial Economics, Taylor & Francis Journals, vol. 16(16), pages 1163-1170.
    9. Shin Kimura & Tomoki Kitamura & Kunio Nakashima, 2023. "Investment risk-taking and benefit adequacy under automatic balancing mechanism in the Japanese public pension system," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-19, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mun, Johnathan C. & Vasconcellos, Geraldo M. & Kish, Richard, 2000. "The Contrarian/Overreaction Hypothesis: An analysis of the US and Canadian stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 53-72.
    2. Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 08-99, Wharton School Rodney L. White Center for Financial Research.
    3. Stephen Foerster, 2011. "Double then Nothing: Why Stock Investments Relying on Simple Heuristics May Disappoint," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(2), pages 115-140, September.
    4. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
    5. Bartholdy, Jan, 1998. "Changes in earnings-price ratios and excess returns: A case of investor over-reaction," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 237-252.
    6. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
    7. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
    8. Alves, Paulo & Carvalho, Luís, 2020. "Recent evidence on international stock market’s overreaction," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    9. YalçIn, Atakan, 2008. "Gradual information diffusion and contrarian strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 579-604, August.
    10. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
    11. Daske, Stefan, 2002. "Winner-Loser-Effekte am deutschen Aktienmarkt," SFB 373 Discussion Papers 2002,87, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    12. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    13. Petkova, Ralitsa & Zhang, Lu, 2005. "Is value riskier than growth?," Journal of Financial Economics, Elsevier, vol. 78(1), pages 187-202, October.
    14. Kwame Addae-Dapaah & James Webb & Kim Ho & Yan Tan, 2010. "Industrial Real Estate Investment: Does the Contrarian Strategy Work?," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 193-227, August.
    15. Achim Himmelmann & Dirk Schiereck & Marc Simpson & Moritz Zschoche, 2012. "Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 400-423, April.
    16. Sanjay Sehgal & Sakshi Jain & Pr Laurence the Porteu de la Morandiere, 2013. "Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 53-78.
    17. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, January.
    18. Chiao, Chaoshin & Hueng, C. James, 2005. "Overreaction effects independent of risk and characteristics: evidence from the Japanese stock market," Japan and the World Economy, Elsevier, vol. 17(4), pages 431-455, December.
    19. Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin, 2007. "Sources of contrarian profits in the Japanese stock market," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 261-286, June.
    20. Brav, Alon & Geczy, Christopher & Gompers, Paul A., 2000. "Is the abnormal return following equity issuances anomalous?," Journal of Financial Economics, Elsevier, vol. 56(2), pages 209-249, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:8:y:1999:i:3:p:215-234. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.