On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis

Hyeongwoo Kim ()

Journal of Empirical Finance, 2009, vol. 16, issue 5, 734-744

Abstract: This paper statistically evaluates the usefulness of the contrarian investment strategy across the national stock markets of 18 developed countries. The contrarian strategy implicitly assumes that asset prices tend toward a fundamental value path over time. Conventional bootstrap analyses and panel unit root tests are often consistent with such a hypothesis. However, these results might be contaminated by small-sample bias and/or by not controlling cross-section dependence. Correcting for small-sample bias nonparametrically, I find extremely slow mean reversion rates, which provide strong evidence against the usefulness of the contrarian strategy.

Keywords: Stock; index; price; deviation; Median-unbiased; estimator; Nonparametric; grid; bootstrap; Cross-section; dependence (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:16:y:2009:i:5:p:734-744

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