Profitability of the Short-Run Contrarian Strategy in Canadian Stock Markets

Kodjovi Assoé, Oumar Sy

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)

Abstract

Using a time-varying three-factor pricing model, this paper examines the profitability of the short-term contrarian strategy in Canadian stock markets from January 1964 to December 1998. This strategy, which consists in buying losing stocks and selling winning stocks of the previous month, generates statistically significant excess unrestricted returns. However, we show that this result is mainly driven by small firms, especially in January. Moreover, results indicate that short-term contrarian investing is not economically profitable when we account for transaction costs.

Original languageEnglish
Pages (from-to)311-319
Number of pages9
JournalCanadian Journal of Administrative Sciences
Volume20
Issue number4
DOIs
Publication statusPublished - Dec 2003
Externally publishedYes

ASJC Scopus Subject Areas

  • Business and International Management
  • Public Administration
  • Marketing
  • Management of Technology and Innovation

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