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Weekday variations in short-term contrarian profits in futures markets

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  • Lin, J. Barry
  • Onochie, Joseph I.
  • Wolf, Avner S.

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  • Lin, J. Barry & Onochie, Joseph I. & Wolf, Avner S., 1999. "Weekday variations in short-term contrarian profits in futures markets," Review of Financial Economics, Elsevier, vol. 8(2), pages 139-148.
    • Handle: RePEc:eee:revfin:v:8:y:1999:i:2:p:139-148
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    References listed on IDEAS

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    1. 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.
    2. Carl R. Chen & David A. Sauer, 1997. "Is Stock Market Overreaction Persistent Over Time?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 51-66.
    3. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    4. Jones, Steven L., 1993. "Another look at time-varying risk and return in a long-horizon contrarian strategy," Journal of Financial Economics, Elsevier, vol. 33(1), pages 119-144, February.
    5. da Costa, Newton Jr., 1994. "Overreaction in the Brazilian stock market," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 633-642, September.
    6. Carl R. Chen & David A. Sauer, 1997. "Is Stock Market Overreaction Persistent Over Time?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 51-66, January.
    7. Ketcher, David N. & Jordan, Bradford D., 1994. "Short-term price reversals following major price innovations: Additional evidence on market overreaction," Journal of Economics and Business, Elsevier, vol. 46(4), pages 307-323, October.
    8. 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.
    9. 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.
    10. Iwan Brouwer, 1997. "Contrarian Investment Strategies in a European Context," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9&10), pages 1353-1366.
    11. Conrad, Jennifer & Gultekin, Mustafa N & Kaul, Gautam, 1997. "Profitability of Short-Term Contrarian Strategies: Implications for Market Efficiency," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 379-386, July.
    12. Youguo Liang & Donald J. Mullineaux, 1994. "Overreaction And Reverse Anticipation: Two Related Puzzles?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(1), pages 31-43, March.
    13. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    14. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-163, April.
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    Cited by:

    1. Bahloul, Walid & Bouri, Abdelfettah, 2016. "Profitability of return and sentiment-based investment strategies in US futures markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 254-270.
    2. Muhammad Kashif & Sanyah Saad & Imran Umer Chhapra & Farhan Ahmed, 2018. "An Empirical Evidence of Over Reaction Hypothesis on Karachi Stock Exchange (KSE)," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(4), pages 449-465, April.

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