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- W2013855871 abstract "Abstract: This paper provides evidence on short‐term contrarian profits and their sources for the London Stock Exchange. Profits are decomposed to sources due to factors derived from the Fama and French (1996) three‐factor model. For the empirical testing, size‐sorted sub‐samples are used, and adjustments for infrequent trading and bid‐ask biases are also made. Results indicate that UK short‐term contrarian strategies are profitable and more pronounced for extreme market capitalization stocks. These profits persist even when the sample is adjusted for market frictions, risk, seasonality, and irrespective of whether equally‐weighted or value‐weighted portfolios are employed. The most important factor that drives contrarian profits appears to be investor overreaction to firm‐specific information." @default.
- W2013855871 created "2016-06-24" @default.
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- W2013855871 date "2006-04-27" @default.
- W2013855871 modified "2023-10-16" @default.
- W2013855871 title "Short‐term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?" @default.
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- W2013855871 doi "https://doi.org/10.1111/j.1468-5957.2006.00003.x" @default.
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