The Empirical Studies on Momentum Strategy and Contrarian Strategy

The Empirical Studies on Momentum Strategy and Contrarian Strategy


Author:Xiumei Lin, Yi Fang Journal:Journal of Quantitative and Technical Economics (Chinese)  Date:2004(11)

Keywords Market efficiency; momentum investment strategies; contrarian investment strategies

Abstract

According to behavior finance theory of under-reaction and over-reaction in equity market, this paper adopts a set of industry portfolio, buying past winner and selling past loser, to research momentum Strategy and contrarian Strategy in China market. Furthermore, we expand single-period decomposition method of Lo and Mackinlay(1990)to multi-period. By analyzing portfolio return, we draw some meaningful conclusion.


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