Applicability of Contrarian Strategy in the Bombay Stock Exchange
Stuart Locke and
Kartick Gupta ()
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Stuart Locke: Stuart Locke, Associate Professor of Finance, Department of Finance, University of Waikato, Hamilton, 2001, New Zealand. E-mail: email@example.com, Tel: +64 7 838 4756, Fax: +64 7 838 4331.
Journal of Emerging Market Finance, 2009, vol. 8, issue 2, 165-189
The application of contrarian strategies in the Bombay Stock Exchange (BSE) are examined in this paper, shedding further light on competing explanations underlying this anomaly. Three specific issues are investigated using several models. First, can a trader book a profit by employing a contrarian strategy? The test portfolio earned a contrarian profit of 74.40 per cent above the market return. Second, risk differences between Winner and Loser portfolios are found to be an independent phenomenon. Third, the size of the firm appears to play a vital role in explaining the overreaction hypothesis.
Keywords: Contrarian strategy; efficient market hypothesis; size effect; JEL Classification: G14; JEL Classification: G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:8:y:2009:i:2:p:165-189
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