Evolution of short-term contrarian profits
Purpose: The purpose of this paper is to study the US stock market and try to explain why short-term contrarian profits have largely disappeared in the past two decades. Design/methodology/approach: In this work, the authors decompose the short-term contrarian profits into cross-sectional variations, firm-level overreactions and lead-lag effects to study the changes in their shares. Then, the authors study the behavior of the subgroups in the winner and loser subportfolios of contrarian investment strategies. Findings: The authors find that short-term contrarian profits have largely vanished since 2000. Changes in the shares of the three components of contrarian profits, which are cross-sectional variations, firm-level overreactions and lead-lag effects, are not the main reason for the disappearance of contrarian profits in the past two decades. Instead, the disappearance of short-term contrarian profits is primarily due to the heterogeneous evolution of subgroups in the portfolio, which leads to a decrease in the overall level of overreactions that drive the contrarian profit. Originality/value: The work explains the disappearance of short-term contrarian profits in the US stock market.
The version of record is available at https://doi.org/10.1108/sef-12-2022-0599. The full citation is as follows: [Evolution of short-term contrarian profits. Studies in Economics and Finance (2023)]. 'This author accepted manuscript is deposited under a Creative Commons Attribution Non-commercial 4.0 International (CC BY-NC) licence. This means that anyone may distribute, adapt, and build upon the work for non-commercial purposes, subject to full attribution. If you wish to use this manuscript for commercial purposes, please contact permissions@emerald.com'
Files
Metadata
Work Title | Evolution of short-term contrarian profits |
---|---|
Access | |
Creators |
|
License | CC BY-NC 4.0 (Attribution-NonCommercial) |
Work Type | Article |
Publisher |
|
Publication Date | July 4, 2023 |
Publisher Identifier (DOI) |
|
Deposited | November 21, 2024 |
Versions
Analytics
Collections
This resource is currently not in any collection.