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Can contrarian strategies improve momentum profits?
Hung Wan Kot1; Kalok Chan2
2006
Source PublicationJournal of Investment Management
ISSN1545-9152
Volume4Issue:1Pages:70-89
Abstract

This paper investigates whether investors can exploit the contrarian cycle to improve the profitability of momentum strategies. We conjecture that the momentum strategies implemented in the early stage of price reversal (MSES) are more profitable than those implemented in the late stage of price reversal (MSLS). Our empirical results show that while MSES records significant positive returns, the profits from MSLS are not significant. There is a continuation of momentum profits in MSES up to 60 months, but not in MSLS. The overall evidence indicates that we can improve the profits of momentum strategies if we also consider past long-term performance.

KeywordPrice Reversal Momentum Strategies
Language英语
Fulltext Access
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Affiliation1.University of Macau - Department of Finance and Business Economics
2.CUHK Business School
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Hung Wan Kot,Kalok Chan. Can contrarian strategies improve momentum profits?[J]. Journal of Investment Management,2006,4(1):70-89.
APA Hung Wan Kot,&Kalok Chan.(2006).Can contrarian strategies improve momentum profits?.Journal of Investment Management,4(1),70-89.
MLA Hung Wan Kot,et al."Can contrarian strategies improve momentum profits?".Journal of Investment Management 4.1(2006):70-89.
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