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• W2042868518 abstract "This paper investigates the time-series evidence of asymmetric reverting patterns in stock returns that is attributable to “contrarian profitability.” Using asymmetric nonlinear smooth-transition (ANST) GARCH(M) models, we find that, for monthly excess returns of US market indexes over the period of 1926:01–1997:12, negative returns on average reverted more quickly, with a greater reverting magnitude, to positive returns than positive returns revert to negative returns. The results are quite consistent when the models are implemented not only for the different sample periods, such as 1926:01–1987:09 and 1947:01–1997:12, but also for portfolios with different characteristics, such as different firm-size portfolios and Fama–French risk-adjusted factor portfolios. We interpret the asymmetrical reversion as evidence of stock market overreaction." @default.
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• W2042868518 date "2002-12-01" @default.
• W2042868518 modified "2023-09-25" @default.
• W2042868518 title "Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach" @default.
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• W2042868518 doi "https://doi.org/10.1016/s0927-5398(02)00011-7" @default.
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