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Profits From Buying Losers And Selling Winners In The London Stock Exchange

Author

Listed:
  • Antonios Antoniou
  • Emilios C. C Galariotis

    (Durham Business School - Durham University)

  • Spyros I. Spyrou

Abstract

DeBondt and Thaler (1985) have challenged the notions of market efficiency and of rational investor behaviour. According to their findings stock portfolios that experience negative returns tend to outperform portfolios that experience positive returns, during the subsequent period. In other words, stock returns may be predictable, and this may be due to excessive investor optimism and pessimism. This paper investigates the existence of such contrarian profits for stocks listed in the London Stock Exchange. The results indicate that contrarian strategies are profitable for UKstocks and more pronounced for extreme market capitalisation stocks. These profits persist even after the sample is adjusted for market frictions, and irrespective of whether raw or risk-adjusted returns are used.

Suggested Citation

  • Antonios Antoniou & Emilios C. C Galariotis & Spyros I. Spyrou, 2003. "Profits From Buying Losers And Selling Winners In The London Stock Exchange," Post-Print hal-01096057, HAL.
    • Handle: RePEc:hal:journl:hal-01096057
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    Cited by:

    1. Antonios Antoniou & Emilios C. Galariotis & Spyros I. Spyrou, 2006. "Short‐term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5‐6), pages 839-867, June.
    2. Manuel Nunes & Enrico Gerding & Frank McGroarty & Mahesan Niranjan, 2020. "Long short-term memory networks and laglasso for bond yield forecasting: Peeping inside the black box," Papers 2005.02217, arXiv.org.

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