Search for essays about: "Contrarian strategy"

Showing result 1 - 5 of 7 essays containing the words Contrarian strategy.

  2. 1. Sector Rotation Strategy Applied on the Swedish Stock Market : Do Swedish sector indices experience momentum effects?

    University essay from Uppsala universitet/Företagsekonomiska institutionen; Uppsala universitet/Företagsekonomiska institutionen

    Author : Mattias Larsson; Peter Dellgren; [2009]
    Keywords : Sector Rotation Strategy; Momentum effects; Contrarian effects; CAPM; Efficient Market Hypothesis; Exchange Traded Funds;

    Abstract : This thesis is an empirical analysis on momentum effects on the Swedish stock exchange’s sector indicesduring the period 2001 to 2009. The momentum effect is investigated by buying previous winner andshort selling previous losers with holding and formation periods over an intermediate time period (1-12month period). READ MORE

  4. 2. Sector Neutral Contrarian Strategies: - A study of short-term contrarian strategies in the Dow Jones STOXX 600

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Christoffer Geijer; Christofer Nordlander; [2009]
    Keywords : Short-term contrarian strategy; price reversals; industry effect;

    Abstract : This paper studies short-term contrarian strategies in the Dow Jones STOXX 600 between 1993 and 2008 taking on a sector neutral approach. The contribution to the literature is two folded. First, we investigate short-term contrarian strategies on an index covering 18 European countries. READ MORE

  5. 3. Stock Return Reversal on the Stockholm Stock Exchange:

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Michael Blomqvist; Sofie Trägårdh; [2009]
    Keywords : Stock return reversal; Contrarian strategy; Overreaction;

    Abstract : The purpose of this paper has been to investigate whether a long term reversal investment strategy can be used to identify mispriced stocks and thereby earn abnormal returns on the Stockholm Stock Exchange during the period of 1982 to 2009.We assign the stocks to decile portfolios according to their five year historical period returns. READ MORE

  6. 4. Market Efficiency and Momentum Strategy in China Stock Market after Year 2003

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Shu Wu; [2008]
    Keywords : Momentum and Contrarian Strategy; market efficiency; China Stock Market; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : we processed weak-form tests of efficient market hypothesis and examined whether momentum/contrarian strategy is profitable in China “A” stock market after 2003. It is assumed that the step-by-step financial liberalization realized according to the commitment made in the participation of World Trading Organization would change the efficiency of stock market in China. READ MORE

  7. 5. Volatility Based Sentiment Indicators for Timing the Markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fabio Antonio Cacia; Rossen Tzvetkov; [2008]
    Keywords : volatility; GARCH; sentiment; VIX; market timing signals; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : VIX, published by the Chicago Board Options Exchange, is a well knownimplied volatility estimator. In this paper we assess its capability to be used as asentiment indicator, and to give signals for a short term investment strategy. READ MORE