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| Tekijä: | Antoniou, A. Galariotis, E.C. Spyrou, S.I. |
| Otsikko: | Contrarian profits and the overreaction hypothesis: the case of Athens stock exchange |
| Lehti: | European Financial Management
2005 : JAN, VOL. 11:1, p. 71-98 |
| Asiasana: | Emerging markets Financial market trading Market information Greece |
| Kieli: | eng |
| Tiivistelmä: | This article examines contrarian profits and their sources for the Athens Stock Exchange. The analysis decomposes contrarian profits to sources due to common factor reactions, overreaction to company-specific information, and profit not related to the previous two terms, as suggested by Jegadeesh and Titman (1995). In compliance with finding for the US market, contrarian profits decline as one moves from small stocks to large stocks, but only when market frictions are considered. |
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