Essays about: "Contrarian effects"

Found 4 essays containing the words Contrarian effects.

  1. 1. The Effects of Equal Weighting and Rebalancing on Portfolio Performance

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Magdalena Stefanovska; [2020]
    Keywords : Equal weighting; rebalancing; Swedish stock market; equity portfolio; contrarian; idiosyncratic risk; four-factor model; Business and Economics;

    Abstract : This study compares the performance of equal- and value-weighted portfolios using a broad investment universe consisting of the stocks from the Swedish stock market. While implementing random sampling in the portfolio construction procedure, three rebalancing schemes are applied on the equally weighted portfolio in order to observe differences in performance among these. READ MORE

  3. 2. Momentum and Contrarian Trading Strategies: Evidence from the Chinese stock market 2000-2010

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Chaoqiong Shi; [2011]
    Keywords : Contrarian effect; Momentum effect; The relative strength portfolio; CAPM model; Overreaction; Underreaction.; Business and Economics;

    Abstract : The paper employs Jegadeesh and Titman (1993)’s overlapping ranking period method to build winner-portfolio and loser-portfolio, and thereafter conducts empirical studies on the momentum and contrarian effects on the Chinese stock market from 2000 to 2010. One thing worth mentioning here is that the author processes the data using her own Matlab codes instead of doing tremendous manual work. READ MORE

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

    University essay from 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

  5. 4. 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