EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927-5398(09)00041-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-07-30
Handle: RePEc:eee:empfin:v:16:y:2009:i:5:p:734-744