Dissertations / Theses on the topic 'Contrarians'
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Kutsoati, Edward. "Dodos, contrarians and central bankers, essays on incentives and contracts." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ35968.pdf.
Full textN, Schönfeldt Sara. "Expatriate leaders- cultural chameleons or cultural contrarians? : A narrative study of Swedish leaders' adjustment process in France." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-50818.
Full textHerman, Tess P. "Investigating Potential Strategies Used by Climate Change Contrarians to Gain Legitimacy in Two Prominent U.S. and Two Prominent U.K. Newspapers from 1988 to 2006." Ohio University / OhioLINK, 2021. http://rave.ohiolink.edu/etdc/view?acc_num=ohiou1617893211661352.
Full textBonzanigo, Mauro. "Contrarian-Strategien am Deutschen Aktienmarkt." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02605491002/$FILE/02605491002.pdf.
Full textKiselev, Egor. "Contrarian investment strategies in the US equity market on the base of constituents of Standard and Poor's 500 Index in the years 1990-2012." Thesis, Loughborough University, 2018. https://dspace.lboro.ac.uk/2134/33059.
Full textGarcia, Juliana Yokoo. "Amores contrariados, puros e abnegados?" Universidade de São Paulo, 2009. http://www.teses.usp.br/teses/disponiveis/8/8150/tde-11092009-144146/.
Full textBased on the big critical legacy of Camilo Castelo Brancos work, built since Teófilo Braga until the present, this study aims looking at Camilians fiction beyond its obvious contents: thwarted, pure, and self-sacrificing love stories. In order to do so, we have analyzed the novels Os brilhantes do brasileiro (1869) and Agulha em Palheiro (1863), with the objective of showing how the author is able to combine, in these novels, the literary style in vogue at the time and the portrait of the prosaic society that the author observed in his reality immediately, a world which is far away from the romantic and idealized configuration proposed by significant part of this criticism. In addition to addressing the specific characteristics of each novel, such as narrative structure, the construction of characters, the themes addressed, among others, we intend, at the end of this study, to examine the similarities and differences between the two narratives, emphasizing the dynamism, the multiplicity and, most importantly, the complexity of the writer of São Miguel de Ceide.
Booson, Alexander, and Lowe Swahn. "Popularitet på aktiemarknaden : En undersökning av aktiers popularitets effekt på risk och avkastning." Thesis, Linköpings universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120185.
Full textBackground: Over the past few decades it has been generally accepted that market premiums come with an associated level of risk. Even the most widely used pricing model today, CAPM, leans on this assumption. In an article written by Ibbotson and Idzorek (2014) this assumption is challenged as the main driver of market premiums and returns. The article contains evidence that relatively high returns have been earned through buying less popular stocks on the U.S. stock market. Surprisingly the risk-return dimension exhibited an inverse relationship. This evidence from the U.S. stock market motivates us to investigate to what extent this effect can also be seen on the Swedish stock market. Aim: The aim of this thesis is to identify and analyze the effect of a stock`s popularity on the risk and return. Completion: In this quantitative study, share turnover and market capitalization have been used as approximations for popularity. The effects of stocks popularity on risk and return have been are examined by evaluating the performance of portfolios when categorizing the stocks by share turnover and market capitalization. The statistical relationship between popularity and return is analyzed using regression analysis. This study has both studied the effect of last year's popularity, as well as the effect of the popularity of the same year. Conclusion: When various approximations for the popularity dimension are studied and compared, this study shows no marked effect of stock`s popularity from the previous year on risk and return. The study finds no statistically significant relationship between the previous year ́s popularity and return. However, there is a positive statistically correlation between popularity and return when measured during the same year as when the popularity was measured. In addition, the results establish evidence for the stock turnover as a good measure of popularity.
Bauer, Christian. "Momentum und Contrarian Strategien am Aktienmarkt von Hong Kong." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01123108001/$FILE/01123108001.pdf.
Full textMalmkvist, Henrik, and Nils Edström. "Informationsvärde i den svenska insynshandeln : En studie på aggregerad insynshandel." Thesis, Linköpings universitet, Nationalekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-95755.
Full textThis study investigates if it possible to forecast the Swedish stock market using insider trading data. Individual insiders have been shown to have more information concerning a company than other investors. Additionally, insiders have been shown to be able to outperform the market in earnings from trading in company stock. Aggregate insider trading has, in previous studies, been shown to have a positive relationship with future returns on stock markets. To map the relationship between Swedish insider trading and the Swedish stock market we use the insider trading records from Finansinspektionen containing over 209 000 transactions over the course of 22 years. These records are examined together with a historic stock price index from the same time period. The relationship between the two is examined using OLS-regressions. We examine what factors drive the predictive power of insider trading and what economic value insider trading has as a forecasting instrument. Our results show that there is a statistically significant positive relationship between insider trading and future returns on the Swedish stock market, the significance increases with time. We also find indications that insider purchases have a stronger relationship with future index movements than insider sales have. This is consistent with earlier studies that find that insid-ers sell stock for many other reasons than profit. We conclude that the predictive power of insider trading derive from an information advantage, although our results indicates that some of the predictive power can be explained by a contrarian-strategy and a transparency effect. Finally we construct forecast-models based on historical insider trading and back-test these on the 22 year period. Results from these tests indicate that aggregate insider trading is effective in predicting future rises in the stock market and can function as a basis for successful invest-ment strategies.
Wallin, Fredrik, and Kristofer Pousette. "Momentumstrategi - applicerat på Stockholm OMX30." Thesis, Uppsala University, Department of Business Studies, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-112058.
Full textDenna studie undersöker huruvida momentumstrategier applicerat på OMXS30 under perioden2004-01-01 till och med 2009-06-30 genererar riskjusterad överavkastning vid jämförelse medmarknadsindexet OMXS All-share. Detta görs med en teoretisk grund i modern portföljteori, deneffektiva marknadshypotesen samt CAPM. Momentumstrategierna prövas genom attinledningsvis rangordna de aktier som ingår i OMXS30 efter historisk avkastning under deföregående sex månaderna. Därefter sätts portföljer samman enligt en strategi innehållande treaktier och en strategi innehållande tio aktier. Båda strategierna med en investeringshorisont på sexmånader. Strategiernas resultat utvärderas sedan med Jensens Alfa och Treynorkvot. Slutligentestas om resultaten är statistiskt signifikanta med T-test. Resultaten av den genomförda studienvisar att momentumstrategierna genererar statistiskt säkerställd riskjusterad överavkastning därstrategi med tre aktier ger den högsta överavkastningen. Detta tyder på att den svenskaaktiemarknaden inte uppfyller kraven för den svaga formen av marknadseffektivitet.
Piper, Heather. "A contrarian approach to qualitative inquiries : cases, causes, and conclusions." Thesis, Manchester Metropolitan University, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.400991.
Full textChaudhuri, Shomesh Ernesto. "A time and frequency domain analysis of contrarian trading strategies/." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/91093.
Full textCataloged from PDF version of thesis.
Includes bibliographical references (pages 73-74).
This thesis applies time and frequency domain analyses to a high-frequency market making strategy to study the profitability of liquidity provision over multiple time horizons from 1964 to 2013. Using daily returns and inside quotes, we provide evidence that widening spreads on the NASDAQ National Market System in the late 1980s and early 1990s were facilitated by implicit pricing agreements amongst security dealers. In contrast, we show that regulatory changes, such as decimalization, and the development of liquidity providing algorithmic trading strategies acted to narrow spreads and reduce transaction costs. Increasing the focus of our analytical lens to the intraday level we find that, over the past two decades, market making profitability has been higher and sensitivity to market turbulence has been lower at shorter time horizons providing strong incentives for traders to move into higher frequency domains. As an informative example we show that, during the 2010 Flash Crash, high-frequency realizations of our market making strategy are unaffected by the rapid market downturn while slower realizations are caught on the wrong side of markets as prices fall. This last observation leads us to consider a frequency decomposition of average portfolio returns to characterize the profitability of our trading strategy at different time horizons. We use this spectral technique to demonstrate that turbulence or momentum in one frequency band may substantially affect the profitability of contrarian trading strategies
by Shomesh E. Chaudhuri.
S.M.
Mejorada, Chauca Martín. "Sentencias contrarias a la ley y la respuesta del derecho." THĒMIS-Revista de Derecho, 2015. http://repositorio.pucp.edu.pe/index/handle/123456789/109501.
Full textZhao, Mei. "Trend following with contrarian strategy for trading in stock markets." Thesis, University of Macau, 2018. http://umaclib3.umac.mo/record=b3950656.
Full textPlant, John. "Heyoka : Die Contraries und Clowns der Plainsindianer /." Wyk (Allemagne) : Verlag für Amerikanistik, 1994. http://catalogue.bnf.fr/ark:/12148/cb37461045g.
Full textGärde, Johannes, and Nils Otterman. "EBIT eller EBITDA? : Med syfte att uppnå överavkastning." Thesis, Linköpings universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-138820.
Full textBackground: Extensive research has shown that investment strategies can be used to achieve continuous abnormal returns in comparison to an index. Many investment strategies are based on the multiples EV/EBIT and EV/EBITDA. These multiples suffice as an approximation of the company’s operational cash flow while taking into account the capital structure. Even though it is only the depreciation and amortization that sets the two multiples apart, we argue that the need for investments constitute a fundamental part of creating long term stakeholder value. For this reason we find it interesting to study how the capital intensity affects an investment strategy’s ability to generate returns based on the multiples EV/EBIT and EV/EBITDA. Aim: The aim with this study is to compare the multiples EV/EBIT and EV/EBITDA’s ability to generate returns on the Stockholm Stock Exchange. Methodology: The study has used a quantitative method with a deductive approach in order to collect and process data for companies listed on the Stockholm Stock Exchange during the time period 2005 – 2016. These companies have constituted the base for a ranking process, ultimately leading to the creation of twelve portfolios that differ with regard to the type of multiple and holding period. In order to statistically verify the results of the study we have used pairwise t-tests. Results: Out of twelve portfolios nine have achieved risk adjusted abnormal returns in comparison with the index OMXSPI. The results could be verified statistically for seven portfolios within a double-sided confidence interval of between 90-99 percent. An investment in low multiple values for EV/EBIT with a holding period of six months generates the highest accumulated return, both before and after adjustment for risk. In contrast, an investment in high multiple values for EV/EBIT generates the lowest accumulated return during the studied time period.
Fu, Hsiao-Peng. "Momentum strategies, contrarian strategies, and trading volume : the case of Taiwan." Thesis, University of Essex, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.428961.
Full textGalariotis, Emilios. "The profitability of contrarian strategies and the overreaction hypothesis : empirical evidence." Thesis, Durham University, 2003. http://etheses.dur.ac.uk/1073/.
Full textCarbone, Sarli Guillermo. "Estrategias de momentum y contrarian en el mercado accionario chileno: ¿rentabilidades reales?" Tesis, Universidad de Chile, 2013. http://www.repositorio.uchile.cl/handle/2250/112147.
Full textEl presente seminario confirma, basándose en la metodología utilizada en González (2006), la validez de las Hipótesis de Sobrereacción y Subreacción en el mercado accionario chileno, mediante el estudio de las estrategias de Momentum y Contrarian. En efecto, se encuentra que Momentum obtiene un retorno significativo de 7,06%, para un periodo de formación y testeo de 6 meses, mientras que la estrategia Contrarian, un 33,55%, considerando periodos de formación y testeo de 24 meses. Esto re-confirma además, la persistencia en las oportunidades de arbitraje en el tiempo. Tras estudiar los costos de transacción para ambas estrategias, en base a la medida propuesta en Lesmond et. al (2004) de Spread más Comisión citada, se observa que éstos equivalen a un 20% y 25%, respectivamente, los que entregan unos retornos netos de -13,5% y 8,5%. Si bien este último es positivo, factores como el tiempo que hay que mantener la posición abierta (24 meses), la volatilidad en los resultados, y la estimación conservadora de los costos, a través de la medida utilizada, omitiendo costos relevantes, hace que ninguna de las estrategias sea interesante desde el punto de vista de una oportunidad de inversión real. De esta forma, efectivamente se catalogan los retornos de las estrategias como teóricos (González 2006), sin embargo, esto no se debe a las restricciones a la venta corta existentes actualmente, sino que principalmente a los altos costos de transacción que implica transar los portafolios de estas estrategias (especialmente el perdedor), además de los ya mencionados. Es entonces este hecho el que finalmente permite explicar la persistencia en las oportunidades de arbitraje en el tiempo. Por último, incluir una aproximación de los costos de transacción en el mercado accionario chileno, constituye un aporte a la escasa evidencia sobre el tema, y además, según Lesmond (2005), al ser este mercado sumamente ilíquido, se reafirma la necesidad de estudiar los costos de transacción en futuras investigaciones.
Coimbra, Miguel Ferreira. "Factor analysis in the stock market - an application to statistical arbitrage." Master's thesis, NSBE - UNL, 2011. http://hdl.handle.net/10362/10067.
Full textAlthough being very profitable in the past years, the contrarian strategy, that tries to exploit the reversion of the stock prices after an overreaction of the new available information, had decline in the past years. To boost the profitability of that specific strategy, I tried to divide the assets of Eurostoxx 600 by some firm specific factors. The results of such improvement were not clear, since the new strategy beat the benchmark in some periods, but none systematically achieved better results in all the sample periods.
De, la Port Dian. "The cover story effect : investors’ reactions to cover stories and the impact on share price." Diss., University of Pretoria, 2010. http://hdl.handle.net/2263/23781.
Full textDissertation (MBA)--University of Pretoria, 2011.
Gordon Institute of Business Science (GIBS)
unrestricted
Mokale, Tebogo. "Does contrarian trading by directors provide a signal to outside investors for future abnormal returns in South Africa." Diss., University of Pretoria, 2010. http://hdl.handle.net/2263/24877.
Full textDissertation (MBA)--University of Pretoria, 2011.
Gordon Institute of Business Science (GIBS)
unrestricted
Enberg, Hanna, and Philip Götz. "Branschtidskrifter som contrarian indikator. : En myt eller en strategi som skapar överavkastning?" Thesis, Linköping University, Department of Management and Engineering, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-10681.
Full textBakgrund: Inom investering förekommer ett flertal tumregler och myter. En myt som cirkulerat bland investerare är att framsidor i branschtidskrifter, benämnt Cover Stories, skulle utgöra en indikator för en contrarian strategi. Våren 2007 presenterade den första studie där det undersöktes om Cover Stories hade utgjort indikatorer för enskilda företag i USA. Vi kommer att undersöka om Cover Stories i Affärsvärlden och Veckans Affärer utgjort en indikator på den svenska marknaden under tidsperioden 1987 till 2006. Utfallen av våra resultat kan eventuellt bidra till att investerare inte fattar beslut utifrån en felaktig myt om samband inte kan påvisas. Finner vi ett samband kan vi fastställa att det funnits fog för myten.
Syfte: Vår studie syftar till att undersöka huruvida Cover Stories har kunnat användas som indikator i en contrarian eller momentum strategi under tidsperioden 1987 till 2006.
Genomförande: Vår studie har genomförts med den amerikanska studien som utgångspunkt. Affärsvärldens och Veckans Affärers framsidor har undersökts för tidsperioden 1987 till 2006. Under denna tidsperiod fann vi 298 företag som kunde kategoriseras beroende på om Cover Storyn var positiv eller negativ till företaget i fråga. Kategoriseringen som gjorts i ursprungsstudien ansåg vi vara för generell varför en metodutveckling gjordes. Därefter beräknades avkastningen kring publiceringsdagen för olika tidsintervall. Eventuell överavkastning beräknades genom att 1) justera för marknadens avkastning samt 2) justera för respektive bransch avkastning. Detta för att utreda huruvida trender kunde fastställas och om det var möjligt att använda Cover Stories som en indikator. De erhållna resultaten är testade för statistiskt signifikans.
Slutsats: Generellt har positiva Cover Stories utgjort en momentum indikator medan negativa Cover Stories utgjort contrarian indikator. Kategorispecifika resultat visar dock på värden som till största del saknar statistisk signifikans. Vidare är spridningen i hur företag avkastar stor. Sammantaget finner vi därför inget stöd för myten och rekommenderar inte en contrarian strategi med Cover Stories som indikator, vilket är i linje med ursprungsstudien.
Background: Myths and rules of thumb are widely spread within finance. One among many others is that Cover Stories of financial magazines are effective contrarian indicators. In spring of 2007 the first study was presented were it had been investigated if Cover Stories could have been used as indicators for companies in the U.S. We will examine whether Cover Stories in the Swedish financial magazines ‘Affärsvärlden’ and ‘Veckans Affärer’ constitute indicators for the Swedish market from 1987 to 2006. The outcome of our study can either prevent investors from making incorrect decisions based on a myth for which we have found no proof or strengthen the myth if we the magazines indeed could have been used as an indicator.
Purpose: The purpose of this study is to examine whether Cover Stories could have been used as indicators for either a contrarian or momentum strategy in the period of 1987 to 2006.
Realization: The basis of our study has been the study made on the U.S.-market. The Cover Stories of ‘Affärsvärldens’ and ‘Veckans Affärer’ have been categorized for the period of 1987 to 2006, depending on the nature of the Cover Story, i.e. if it is depicting the company in a positive or negative manner. We considered the categorisation which hade been applied in the original study to be too general. Therefore we further developed the methodology regarding the categorisation. Subsequently the change of the stock price, for each company being the object of a cover story, before and after publication was compared. The return was then adjusted for the market return and the return of respective industry, again for each company. This enabled us to determine whether Cover Stories had been useful as an indicator. The results have been tested statistically.
Findings: Positive Cover Stories constituted a momentum indicator while negative Cover Stories represented contrarian indicators. The majority of the results in the specific categories lack statistic significance, furthermore are the discrepancy in the returns of the companies considerable. To sum up, our results do not support the myth and we would not recommend a contrarian strategy based solely on Cover Stories as an indicator.
Nilsson, Mikael, and Johan Adalberth. "Valuestrategi baserad på residualavkastning." Thesis, Uppsala University, Department of Business Studies, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8520.
Full textVi undersöker sambandet mellan residualavkastning på eget kapital och aktieavkastning. Företagen på Stockholmsbörsen delas in i tio portföljer utifrån storleken på företagens residualavkastningar under en treårig rankingperiod. Portföljernas prestation på börsen utvärderas sedan under en treårig testperiod. Totalt omfattar undersökningen åtta rankingperioder med tillhörande testperioder. De genomsnittliga resultaten tyder på att överreaktionshypotesen stämmer och att en valuestrategi är lönsam. Portföljen med de företag som uppvisar de lägsta residualavkastningarna under rankingperioderna har den högsta genomsnittliga portföljavkastningen under testperioderna och vice versa. Även de övriga portföljernas prestation ligger i linje med prestationen hos extremportföljerna.
Gruber, Dexter Rowe. "CONTRACT V. TRUST: AN EXAMINATION OF TRUST FORMATION IN CONTRACTING DYADS." OpenSIUC, 2017. https://opensiuc.lib.siu.edu/dissertations/1456.
Full textHazelzet, Korine. "Verkeerde werelden : exempla contraria in de Nederlandse beeldende kunst /." Leiden : Primavera pers, 2007. http://catalogue.bnf.fr/ark:/12148/cb409301734.
Full textSteczowicz, Agnieszka. "'The defence of contraries' : paradox in the late Renaissance disciplnes." Thesis, University of Oxford, 2004. https://ora.ox.ac.uk/objects/uuid:f2f93089-60f6-4408-aae9-2b3e595efcdc.
Full textMoolla, Mahomed Ahmed. "Cover stories as effective contrarian indicators : a replication study in a South African context." Diss., University of Pretoria, 2010. http://hdl.handle.net/2263/24878.
Full textDissertation (MBA)--University of Pretoria, 2011.
Gordon Institute of Business Science (GIBS)
unrestricted
Ramos, Nuno Miguel Figueiredo Monteiro Marques. "Minority positions on the climate change debate: Skeptics' & contrarians' interpretative resources in the social contestation of climate change on comment sections from online newspapers." Master's thesis, 2021. http://hdl.handle.net/10071/23745.
Full textCom um foco exclusivo nas posições minoritárias sobre alterações climáticas (AC), esta dissertação examina o debate social e político que ocorre nas secções de comentários de artigos relacionados com as AC dos jornais portugueses online Diário de Notícias e Observador. Motivada pelos recentes sucessos eleitorais no continente europeu de partidos políticos de extrema-direita e populistas cujas políticas estão associadas a posições minoritárias sobre AC, este estudo parte de quadros teóricos dedicados às construções culturais da sociedade e da natureza, bem como aos processos de criação de significado em relações self-other. A dissertação (1) analisa nos comentários como as posições maioritárias sobre AC são opostas e as minoritárias avançadas quando os significados colidem, e (2) estabelece como os que defendem as AC são interpretados e comprometidos por céticos e contrários. Esta dissertação analisa em detalhe comentários céticos e contrários, prestando atenção tanto ao conteúdo como à forma, examinando as visões polémicas/dicotomizadas que procuram reforçar narrativas céticas e contrárias, bem como as não-dicotomizadas em que o diálogo não é restringido. Os resultados mostram que atualmente no debate sobre AC que ocorre nos jornais as posições minoritárias podem ser encontradas muito mais nos comentários do que nos artigos publicados. Eles também revelam que a negação estrita das AC antropogénicas é uma ocorrência rara entre os comentários analisados, mas que o ceticismo e contrarianismo podem manifestar-se de várias formas, incluindo a contestação de cientistas climáticos, ambientalistas e decisores, individualmente ou como um grupo, cujos apelos à ação suscitam reações de desconfiança, oposição, ou ideias conspiratórias, dependendo da visão de mundo das pessoas. Contribuindo para o estudo das posições minoritárias sobre as AC, esta dissertação oferece uma maior compreensão para a comunicação científica e a elaboração de políticas sobre o papel dos recursos interpretativos partilhados das pessoas na imaginação e resposta às AC.
Fang, Show-yeun, and 方秀月. "Contrarian Profit in TSE." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/73428318218896537851.
Full textChang, Chia-Ching, and 張佳菁. "Intraday Contrarian Investment Strategy." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/66480752316302445229.
Full text元智大學
管理研究所
98
In this paper we explore the profitability of intraday contrarian strategies using NYSE stocks. The results find that buying those loser stocks and selling those winner stocks in the morning session could yield significant returns from holding the positions during the afternoon session. We attempt to explain the contrarian profits with information asymmetry, information uncertainty and short sales constraints. Our results indicate that the intraday contrarian strategy generates the most significant returns for small, low turnover, value stocks and stocks experiencing high selling pressure. These evidences are generally consistent with the argument that stocks with greater degree of information asymmetry, information uncertainty tend to over-react to intraday information and yield greater contrarian profits. We also find that such contrarian strategies are particularly profitable when applied to stocks having experienced high selling pressure in the morning session, with a daily return as high as 0.37%, while they are not when applied to stocks experiencing high buying pressure, possibly attributable to the short sales constraint. Even though the contrarian profits would be wiped out by transaction costs, the findings may still serve as evidences for the relationship between firm characteristics and the level of intraday over-reactions.
黃聖源. "The relationship between the Contrarian." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/88597906407341521724.
Full text國立彰化師範大學
商業教育學系
98
This paper investigated the dynamic relation between contrarian individual investor trading and short-horizon returns for Taiwan stock exchange. We major the intense buying and selling contrarian individual investorIBSCI will forecast the stock returns. The evidence indicates that individuals tend to buy stocks following declined in the previous month and sell following price increase. IBSCI of investment strategy let stock return inversion in the short-horizon. We use net individual investor tradingNIT , past returns, turnover rates to company size for regression analysis. The empirical results show net individual investor trading more significant than past returns and turnover rates , andNIT will forecast small company return significant than large company return. The patterns we document IBSCIr are not liquidity to institutional investor. Because IBSCIprovide liquidity not enough institutional investor demand.
Shen, Yu-Jan, and 沈育展. "The Disposition Effect and Contrarian Profits." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/82287671071730727487.
Full text國立臺灣大學
財務金融學研究所
97
This paper tests whether the disposition effect, that is the tendency of investors to hold on to losses too long and realize gains too soon, plays a pivotal role in explaining the short-term contrarian profits. We collect the monthly data associated with all NYSE/AMEX common stocks from 1962 to 2007 and use to construct an aggregate measure of reference purchasing prices for individual stocks. Our study shows that the level of accumulated capital gains/losses is highly associated with investors’ overreaction to information. The interaction between past returns and paper gains/losses generates predictable subsequent price reversals. A contrarian strategy consisting of short-selling winner stocks with large paper losses and buying loser stocks with large paper gains yields monthly abnormal returns of over 200 basis points.
Carvalho, Bruno Miguel Raínha de. "Contrarian Investment Strategy and Credit Ratings." Master's thesis, 2018. https://hdl.handle.net/10216/117128.
Full textCarvalho, Bruno Miguel Raínha de. "Contrarian Investment Strategy and Credit Ratings." Dissertação, 2018. https://hdl.handle.net/10216/117128.
Full textChao, Chi-Chuan, and 趙啟全. "Volatility, Contrarian Trade, and Foreign Institutional Investors." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/12320895007835617320.
Full text元智大學
財務金融學系
95
We use GARCH model and the transaction data of Taiwan Stock Exchange to examine the relationship between volatility and selling activities. The sample period is from March, 2003 to September, 2006. Our result indicated that the asymmetry volatility could be significantly explained by the selling activities in Taiwan stock market. As to defining the selling activities as the two different investing strategies, we suggested that the contrarian-trade would slightly increase the volatility and the herding-trade heavily increases the volatility. Besides, after dividing the whole investors into domestic investors and foreign institutional investors, we suggested that contrarian-trade of foreign institutional investors could reduce the volatility but contrarian-trade of domestic investors increase the volatility. The same investing strategy from domestic and foreign investors has different impacts on volatility. Finally, we found that the factor causing different impacts on volatility may be the level of autocorrelation of domestic trades and foreign trades. We also provided that the investors could increase the possibilities of gaining positive returns by indentifying what kinds of investing strategies the foreign institutional investors pursued.
Hsu, Jonathan, and 徐敬道. "Contrarian Strategy Base on Price Limits Rule." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/62107765418648287239.
Full text國立中興大學
高階經理人碩士在職專班
93
This study explores the investment strategies with trading in the Taiwan Stock Market based on the price-limit rule from Jan. 2 2003 to May 20 2005. We expect to find out some viable strategies to trade in the market and uphold the good performance as well. Furthermore, another purpose of this study lies in whether the market will be enable to react their practical prices while the stock prices are approaching the price limit. Under the record in trading 578 days by means of deploying the contrarian strategy based on price-limit rule, the empirical result indicates the superior performance to be retained. Moreover, it would tend towards over-reaction while the market is approaching to the price-limit. Eventually, the research is very helpful to the investors for accessing their investments and to the government for renewing and modifying the related compliances.
Shieh, Jia-Ru, and 謝佳如. "The Feasibility of Contrarian in Taiwan Stock Market." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/80809673462165459100.
Full text林韋民. "The optimal contrarian strategy in Taiwan stock market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/54111482734728829699.
Full text國立政治大學
國際經營與貿易研究所
97
This paper tries to construct the best contrarian strategy which means that past losers will outperform past winners for Taiwan stock market. Instead of following previous papers to use past returns and be portfolio-oriented, “price” and “individual stock” are the main factors in the strategy. Initially, the most adequate timing for buying stocks was determined. Then the feasible selling policy was formed. After the optimal contrarian strategy was constructed, industrial factors were investigated. The results suggest buying stocks with P/E ratio under 10 when their prices are lower than their half of the previous 52-week high, and selling them when prices drop about 75% or rise about 5% or 2 or 3 years later since buying them, depending on which one appears earlier. Finally, the findings also show that electronic stocks are most applicable to the contrarian strategy.
Chen, Yen-Chun, and 陳彥君. "Momentum and Contrarian strategies in index futures markets." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/31438350652658371247.
Full text國立清華大學
科技管理研究所
96
The article tests for the performance of momentum and contrarian strategies in index futures contracts. The momentum strategies buy the index futures that outperformed in the recent past, sell the index futures that underperformance. On the contrary, the contrarian strategies buy the index futures that underperformance in the past, sell the index futures that outperformed. Then we combine different information period and holding period, and examine the profitability of 84 strategies. As the result, we find that momentum strategies are profitable over horizon from 1 to 12 months, while contrarian strategies are profitable for long horizons as 18 months or longer. Besides that, the study also analyzes the source of the profitability. Would the strategies consist the abnormal return.
Huang, Wan-Ling, and 黃婉淩. "International Contrarian and Momentum Strategies:A Stochastic Dominance Perspective." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/15326807016668542793.
Full text國立中央大學
財務金融研究所
94
We apply the stochastic dominance approach to examine momentum and contrarian strategies. The data is from the Datastream International, and the sample period is from 1980 to 2004. We find strong evidence that loser portfolios stochastically dominate winner portfolios on contrarian strategies in global, US, and Non-US market based on equal-weighted and value-weighted calculation. As for momentum strategies, We find the loser portfolios stochastically dominate winner portfolios when we use equal-weighted evaluation. This is in sharp contrast to past literatures. In addition, there is no stochastic dominance relation between winner and loser portfolios in global market and the winner portfolios stochastic dominance loser portfolios in Non-US market under value- weighted scheme.
Lai, Chia-Wei, and 賴佳偉. "Contrarian Strategies in Japan and Taiwan market：Overreaction or Taxes." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/h3jjr2.
Full text銘傳大學
財務金融學系碩士班
97
As can be seen from the prior studies, what are the reasons for return reversals have been a controversial issue. Most of studies showed return reversals may be caused by overreaction. However, George and Hwang (2007) pointed out that the reason of return reversals could be better explained as the rational reaction of investors who locked-in capital gains, accordingly, contrarian strategies do not work in the countries without tax of capital gains. In this paper, George and Hwang’s (2007) model will be utilized to analyze other factors which may drive return reversals in both Japan and Taiwan. The outcomes of empirical study show that contrarian strategies are suitable in both Japan and Taiwan market, moreover, the results claim that which tax loss selling causes losers reversal only shows in January. Besides, this paper also empirically investigates both capital gains lock-in hypothesis and overreaction hypothesis. The results reveal that overreaction is not the primary reason for return reversals in Japan and Taiwan, while the reason of winner reversal in Japan, where capital gain is taxed on, is caused by capital gain locked-in.
"When are contrarian profits due to stock market overreaction?" Alfred P. Sloan School of Management, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/2240.
Full text"First draft: November 1988. Latest revision: May 1989."
Includes bibliographical references.
Research support from the Geewax-Terker Research Fund, the National Science Foundation, the John M. Olin Fellowship at the NBER and the Q Group.
Chiu, Ching-Wen, and 邱靖雯. "Contrarian Strategy and Relevant Factors in Taiwan Stock Market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/70688914692827033171.
Full text國立交通大學
管理學院碩士在職專班財務金融組
98
This paper focuses on contrarian strategies and combines turnover ranking, turnover changes and institutional investors holding as the criteria for stock picks. The purpose is to observe whether this approach yields better returns and to identify the strategies ideal for Taiwanese equities. The results find that the portfolio of the losers during the previous period based on the lowest returns of the formation period yields positive but not significant returns. However, if the contrarian strategy incorporates single factors, two factors and three factors in the screening of the investment portfolios, the returns of the portfolio begin to gradually increase with the addition of factors. The individual monthly returns become increasingly stable. The combination of a contrarian strategy and three factors produces a portfolio of low turnover ranking, high turnover changes and low institutional investors holding reports high average monthly returns. As for individual monthly returns, there are mostly positive returns in the first quarter. Except for the first quarter, the returns at the end of each quarter (e.g. June, September and December) are all negative. Therefore, this paper finds that January effects do exist, and the investment portfolios with shorter formation periods tend to have higher returns. The stock pick percentage has no influence on returns.
Pereira, Pedro Filipe Silveira Inácio Rodrigues. "Momentum and contrarian strategies in the Portuguese stock market." Master's thesis, 2009. http://hdl.handle.net/10071/1823.
Full textThis thesis studies whether momentum and contrarian strategies are profitable on the Portuguese stock market and whether it is possible to obtain higher returns based on past performance trends. The time period analyzed is 1997-2008. The momentum strategy is based on the under-reaction hypothesis. This suggests that stocks that have had the best (worst) results in the recent past will continue to have better (worse) results in the near future, and therefore a trading strategy that buys winner stocks and sells the losers would provide significant abnormal returns. On the other hand, the contrarian strategy is based on the overreaction hypothesis which assumes the opposite behaviour from stock returns, and hence recommends buying losers and selling winners. Short term strategies show momentum profitability, thus supporting the under-reaction hypothesis. For longer periods, contrarian profitability (and overreaction) is also considerable but not so evident. An “innovative” investment strategy was developed that provides much higher returns than momentum and contrarian strategies. It is based on two upward past trends: if the past returns for the two defined periods preceding the holding period were equal or higher than the percentages defined, this stock is bought; otherwise, a safer investment such as a deposit with a risk-free rate is preferable. Results are not statistically significant but are economically relevant. Finally, results are robust to changes in the time-period, number of stocks included in the portfolios and after considering transaction and custody costs.
Esta dissertação analisa a rendibilidade das estratégias momentum e contrarian na bolsa portuguesa (PSI) no período de 1997 a 2008. Estuda também a possibilidade de obter rendibilidades superiores extrapolando rendibilidades passadas. A estratégia momentum é baseada na hipótese da sub-reacção. Isto sugere que as acções que tenham tido melhores (piores) resultados num passado recente continuarão a ter melhores (piores) resultados num futuro próximo e, portanto, uma estratégia de investimento que compra acções vencedoras e vende as perdedoras, permitirão alcançar rendibilidades superiores. Por outro lado, a estratégia contrarian baseia-se na hipótese de sobre-reacção que assume o comportamento oposto da rendibilidade das acções e, consequentemente, recomenda a compra das perdedoras e a venda das vencedoras. As estratégias de curto prazo demonstram a rentabilidade das estratégias momentum, apoiando a hipótese da sub-reacção. Os resultados obtidos para períodos longos evidenciam uma rentabilidade considerável das estratégias contrarian (e da sobre-reacção), mas não tão evidente. Uma estratégia “inovadora” foi desenvolvida, permitindo auferir lucros consideravelmente superiores aos obtidos com as estratégias momentum e contrarian. Esta pressupõe duas condições: caso as rendibilidades passadas nos dois períodos definidos precedendo o período de investimento forem iguais ou superiores às percentagens definidas, a acção é comprada, caso contrário, investimentos mais seguros são preferíveis, tais como, os depósitos (taxa de juro sem risco). Os resultados não são estatisticamente significativos mas são economicamente relevantes. Finalmente, os resultados são consistentes às alterações nos períodos de tempo, ao número de acções incluídas nos portfolios, e depois de considerados os custos de transacção e de custódia.
WANG, YING-TE, and 王英得. "The Investigation For Contrarian Strategy in Taiwan Listed Companies." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/73278067934512353613.
Full text南華大學
財務金融學系財務管理碩士班
105
This study is based on the winners' portfolio and the losers’ portfolio in the Taiwan Stock Market. We examine whether the Contrarian Strategy can create significant profits under different winners’ portfolio and losers’ portfolio. The Contrarian Strategy study consider the factors about the scale of company (large and small), the type of company (electronic, non-electronic) and boom cycle (expansion period, systolic period). The empirical results as follows: 1.The investor gains positive excess return from contrarian strategy at forming period more than 6 month and holding period more than 12 month. If forming period is only 1 month and holding period is 24 month,then the investor gains positive excess return from contrarian strategy. Long-tern investment from contrarian strategy gains more excess return than short-tern investment from contrarian strategy. If the study is based on the forming period of a month. The return rate of loser in small company subtracts the return rate of winner in small company is higher than the return rate of loser in big company substracts the return rate of winner in big company. We found that the effect of small companines from contrarian strategy impects more than the effect of big companies from contrarian strategy. 2.Non-electronics company gains positive excess return from contrarian strategy at forming period more than 6 month. Electronics company gains positive excess return from contrarian strategy at forming period and holding period more than 12 month. Long-tern investment gains more excess return than short-tern investment from contrarian strategy. 3.If the study is based on the forming period of a month.We found that all listed companies in the holding period of 12 months and 24 months are affected by the boom cycle, the impact of expansion is greater than the impact of systolic. Electronic companies in the holding period of 24 months are affected by the boom cycle, and the impact of expansion is greater than the impact of systolic.Non-electronic category is not affected by the impact of the boom cycle.
Tsai, Tom, and 蔡憶唐. "Performance of Contrarian Investment Strategy in Taiwan Stock Market." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/80007938101388522524.
Full text輔仁大學
管理學研究所
91
This study investigates the performance of the contrarian strategy formed by financial indicators like E/P ratio、B/M ratio、C/P ratio and GS , in Taiwan stock market from January 1997 to December 2001. We use market-adjusted returns and risk-adjusted returns to test if the performance for each strategy has abnormal return. The empirical results are as follows： 1.There is significant difference between returns of value stocks and glamour stocks formed by E/P or C/P. The longer holding period is , the more significant are the positive returns generated. There is also obvious difference between returns of value stocks and glamour stocks formed by B/M and GS with holding portfolio for three to twenty-four months. 2.Most of contrarian strategies generate significant positive returns with holding portfolio for one or two years; but there is no consistency in short-term holding periods. The performance of one-dimension strategies formed by E/P and C/P is better than that of strategies formed by B/M and GS. Contrarian strategies formed by two-dimension indicators perform better than one- dimension strategies formed by B/M or GS , but worse than strategies formed by E/P and C/P. 3.In the bull market, most of contrarian strategies generate significant positive returns with long-term portfolio holding period , but the relative strength strategy performs better in short -term holding periods. The contrarian strategy performs better in bear market than that in bull market , and the return will be more significantly positive with longer holding period.
Wu, Yuliang, and Khelifa Mazouz. "Long-Term Industry Reversals." 2016. http://hdl.handle.net/10454/8530.
Full textThis study investigates whether, how and why industry performance can drive long-term return reversals. Using data from the UK, we find that firms in losing industries significantly outperform those in winning industries over the subsequent five years. These industry reversals remain strong and persistent after controlling for stock momentum, industry momentum, seasonal effects and traditional risk factors. We find a strong influence of past industry performance on stock return reversals. Our results also show that past industry performance is the driving force behind long-term reversals. Specifically, we find that industry components drive stock reversals, while past stock performance does not explain industry reversals. Further analysis suggests that industry reversals are present in both good and bad states of the economy and are stronger in industries with high valuation uncertainty. This implies that industry reversals are more likely to be a result of mispricing.
Chuang, Yu-Chien, and 莊侑蒨. "The Exploration of the Information Dissemination and Contrarian Investment Strategies." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/68371125099924077546.
Full text國立彰化師範大學
商業教育學系
97
This study found that the stock market was over reacted in the long run, so this stud y focused on information dissemination and contrarian investment strategies in the long run. Exploring the difference of risk adjusted return with raw return and the influence of the information dissemination on the growth s tocks and the value s tocks . The result showed that no matter analyst coverage or institutional owner ship is used to weigh the information dissemination, the s tock re turn in higher degree of information dissemination per forms worse than the lower degree of information dissemination. Even the result of analyst cover age presented a decreasing relationship, and the adjusted return by four - factor mo del al so had the same result . Observing the change of the cross - section of return will find that the information dissemination is indeed more important among growth s tocks than value s tocks . I t means if the firms with greater uncertainty in the future growing, analyst cover age ma y actually reduce the fraction of ambiguous information.
"On the contrarian investment strategies: the case of Hong Kong." Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5888804.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 1996.
Includes bibliographical references (leaves 54-58).
Abstract
Chapter Chapter 1: --- Introduction
Chapter Chapter 2: --- Simple Value Vs Glamour Strategy
Chapter Chapter 3: --- Are Contrarian Investment Strategies Fundamentally Riskier ？
Chapter Chapter 4: --- The Performance of the Mutual Fund Industry in Hong Kong
Chapter Chapter 5: --- Summary and Interpretation of the Findings References
References
Appendix: Tables and Diagrams