Long-term return reversal: Evidence from international market indices

Mirela Malin and Graham Bornholt

Journal of International Financial Markets, Institutions and Money, 2013, vol. 25, issue C, 1-17

Abstract: This paper documents evidence of reversals in the long-term returns of international equity markets. We use recent short-term performance to better select contrarian securities that appear ready to reverse. Our late-stage contrarian strategy consistently provides stronger evidence of long-term return reversal than does the traditional pure contrarian strategy when applied to developed and emerging market indices. Despite an absence of cross-sectional contrarian profits for developed markets in our post-1989 subsample, longitudinal analysis provides strong evidence of reversals during this period. Overall, our results suggest that the reversal of long-term returns may be stronger and more pervasive than is generally understood.

Keywords: Contrarian effect; International financial integration; Developed markets; Emerging markets (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:25:y:2013:i:c:p:1-17

DOI: 10.1016/j.intfin.2013.01.002

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