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
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)
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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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