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- W2373925127 abstract "This paper investigate the presence of abnormal returns through the use of trading strategies that exploit the predictability of short and medium run stock price movements. Using sample stocks from Shanghai Stock Exchange and Shenzhen Stock Exchange from 1995 to 2003, we find that both momentum and contrarian profits can be observed.Additionally, the balance between the momentum and contrarian effect is correlative with market condition, momentum effect is stronger in the bullish market, and contrarian effect is stronger in bearish market. Our result show that profits from the trading strategies cannot be accounted for by a simple adjustment for beta - risk, investors' different reaction to firm specific information and common factor is an good explaining factor for the source of momentum and contrarian profits and some interesting characteristics of china stock markets." @default.
- W2373925127 created "2016-06-24" @default.
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- W2373925127 date "2004-01-01" @default.
- W2373925127 modified "2023-09-28" @default.
- W2373925127 title "Momentum and Contrarian Strategies in the Chinese Stock Markets" @default.
- W2373925127 hasPublicationYear "2004" @default.
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