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| Author: | Dissanaike, G. Lim, K.H. |
| Title: | The sophisticated and the simple: the profitability of contrarian strategies |
| Journal: | European Financial Management
2010 : MAR, VOL. 16:2, p. 229-255 |
| Index terms: | capital markets valuation market efficiency models stock markets |
| Freeterms: | Ohlson model profitability contrarian strategies residual income model |
| Language: | eng |
| Abstract: | Based on the Ohlson model and residual income model(RIM). This paper investigates whether: (i) contrarian strategies based on RIM perform better or worse than those based on the Ohlson model; (ii) contrarian strategies based on more sophisticated valuation models perform much better than the relatively simpler ranking variables that have been used so extensively in the finance literature. It is found that simple cash flow-to-price measures appear to do almost as well as the more sophisticated alternatives. One would have expected the sophisticated models to significantly outperform the simple cash flow to price model for the reasons given by Penman (2007). |
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