Size, Changing Risk and Seasonality Effects in the Australian Sharemarket

Benjamin Donovon, John Evans and John Simpson

The IUP Journal of Applied Economics, 2004, vol. III, issue 4, 47-64

Abstract: The over-reaction hypothesis suggests that if investors over-react then a contrarian strategy of buying losers and selling winners should earn significant abnormal returns. The results of the study show that there is an inverse relationship between size and observed returns in the Australian market and that change in risk between the formation and test period is insignificant in terms of the over-reaction paradigm. Finally, it is shown that winner portfolios earn considerable returns in January whilst losers earn a significant proportion of their returns in the non-January months.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjae:v:03:y:2004:i:4:p:47-64

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