کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958455 | 929014 | 2009 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper statistically evaluates the usefulness of the contrarian investment strategy across the national stock markets of 18 developed countries. The contrarian strategy implicitly assumes that asset prices tend toward a fundamental value path over time. Conventional bootstrap analyses and panel unit root tests are often consistent with such a hypothesis. However, these results might be contaminated by small-sample bias and/or by not controlling cross-section dependence. Correcting for small-sample bias nonparametrically, I find extremely slow mean reversion rates, which provide strong evidence against the usefulness of the contrarian strategy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 16, Issue 5, December 2009, Pages 734–744
Journal: Journal of Empirical Finance - Volume 16, Issue 5, December 2009, Pages 734–744
نویسندگان
Hyeongwoo Kim,