Return Predictability, Contrarian & Momentum Profits:The Case of the Athens Stock Exchange

T. Mandalis and Spyros Spyrou
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T. Mandalis: Karaoli & Dimitriou 67-69, 18532, Athens, Greece

Ekonomia, 2004, vol. 7, issue 1, 56-72

Abstract: This paper examines the predictability of equity returns for the Athens Stock Exchange (ASE). We use all stocks listed in the ASE for the period 1989-2001 and find statistically significant momentum profits for short-term strategies and statistically and economically significant contrarian profits for mid- to long- term strategies. These profits are not due to changes in systematic risk or bid-ask biases. Furthermore, portfolio returns seem to be sensitive to the length of the formation period employed to construct the portfolio.

JEL-codes: G1 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:ekn:ekonom:v:7:y:2004:i:1:p:56-72

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