Application of Contrarian Investment Strategy in the international stock markets
| Autor: | CHOU,MING-YAO, 周明瑤 |
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| Rok vydání: | 2016 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 104 This study tests for the performance of contrarian and momentum strategies in 44 national indices to examine the performance of these two strategies. This investigation also analyzes the investment performance between developed and developing countries. The empirical results are summarized as below： 1. The performance of momentum strategies in developing countries is better than that in developed countries. The average monthly return increases first and reaches the maximum level at the first year of holding period, however, it decreases gradually thereafter. 2. The performance of contrarian strategies in developed countries is better than that in developing countries. Deducing the market mean reversion results. 3. The performance of contrarian strategies is better than that of momentum strategies in short-term at the third month of holding period. Deducing results for short-term market overreaction . |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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