haku: @indexterm Value theory / yhteensä: 82
viite: 15 / 82
| Tekijä: | Gregory, A. Harris, R. D. F. Michou, M. |
| Otsikko: | Contrarian Investment and Macroeconomic Risk |
| Lehti: | Journal of Business Finance and Accounting
2003 : JAN-MAR, VOL. 30:1-2, p. 213-256 |
| Asiasana: | VALUE THEORY STRATEGY INVESTMENT ASSETS RISK PRICING |
| Kieli: | eng |
| Tiivistelmä: | It is now widely accepted that contrarian, or value investment strategies deliver superior returns. Gregory, Harris and Michou (2001) examine the performance of contrarian investment strategies in the UK and find that value strategies formed on the basis of a wide range of measures of value have delivered excess returns that are both statistically and economically significant. However, while value strategies appear to be profitable, the reason for their superior performance is far from clear. Under the contrarian model, value strategies are profitable because they are contrarian to naive strategies such as those that erroneously extrapolate past performance, while under the rational pricing model, value strategies are profitable because they are fundamentally riskier in some sense. |
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