search query: @author Rhee, G. / total: 1
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| Author: | Chang, R. McLeavey, D. Rhee, G. |
| Title: | Short-term abnormal returns of the contrarian strategy in the Japanese stock market |
| Journal: | Journal of Business Finance and Accounting
1995 : OCT, VOL. 22:7, p. 1035-1048 |
| Index terms: | STRATEGY JAPAN STOCK MARKETS |
| Language: | eng |
| Abstract: | This study examines short-term abnormal returns of the contrarian investment strategy in the Japanese stock market. The authors provide empirical evidence that (1) the short-run contrarian strategy remains profitable after systematic risk and firm size are taken into account; (2) the seasonality effect does not explain the reported short-run contrarian profits; (3) abnormal profits are reported regardless of whether losers are smaller or greater than winners and the magnitude of the profits does not differ after an adjustment for firm size. |
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