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Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong

Ramiah, V, Cheng, K, Orriols, J, Naughton, T and Hallahan, Terrence (2011) Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong. Pacific-Basin Finance Journal, 19 (1). pp. 140-156. ISSN 0927-538X

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Abstract

We investigate the profitability of contrarian investment strategies for equities listed on the Hong Kong Stock Exchange (HKEX), which are separated into cross-listed firms and firms listed only in Hong Kong. We also investigate the relationship between stock returns and past trading volume for these equities. We report significantly higher contrarian profits for the period investigated and find that this is a persistent feature of stock returns for cross-listed companies. We also document that contrarian portfolios earn returns as high as 8.01% per month for the dually-traded companies and just 1.83% for only HKEX-listed firms. We find that volume has only a limited ability to explain contrarian profits. All extreme profits disappeared after adjusting for the Fama and French three-factor model.

Item Type: Article
Uncontrolled Keywords: ResPubID23676, contrarian strategy, cross-listings, turnover ratio, Hong Kong, multifactor model
Subjects: Faculty/School/Research Centre/Department > School of Economics and Finance
FOR Classification > 1502 Banking, Finance and Investment
Depositing User: VUIR
Date Deposited: 20 Aug 2012 05:47
Last Modified: 20 Aug 2012 05:47
URI: http://vuir.vu.edu.au/id/eprint/9159
DOI: https://doi.org/10.1016/j.pacfin.2010.09.005
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Citations in Scopus: 13 - View on Scopus

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