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| Author: | Nam, K. Pyun, C.S. Arize, A.C. |
| Title: | Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach |
| Journal: | Journal of Empirical Finance
2002 : DEC, VOL. 9:5, p. 563-588 |
| Index terms: | Stock markets Portfolio selection Strategy Models |
| Language: | eng |
| Abstract: | This paper investigates the time-series evidence of asymmetric reverting patterns in stock returns that is attributable to "contrarian profitability." Using asymmetric nonlinear smooth-transition (ANST) GARCH(M) models, it is found that, for monthly excess returns of U.S. market indexes over the period of 1926:011997:12, negative returns on average reverted more quickly, with a greater reverting magnitude, to positive returns than positive returns revert to negative returns. The results are quite consistent when the models are implemented not only for the different sample periods, such as 1926:011987:09 and 1947:011997:12, but also for portfolios with some different characteristics. |
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