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

Full text for this resource is not available from the Research Repository.

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

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.

Dimensions Badge

Altmetric Badge

Item type Article
URI https://vuir.vu.edu.au/id/eprint/9159
DOI https://doi.org/10.1016/j.pacfin.2010.09.005
Official URL http://www.sciencedirect.com/science/article/pii/S...
Subjects Historical > Faculty/School/Research Centre/Department > School of Economics and Finance
Historical > FOR Classification > 1502 Banking, Finance and Investment
Keywords ResPubID23676, contrarian strategy, cross-listings, turnover ratio, Hong Kong, multifactor model
Citations in Scopus 14 - View on Scopus
Download/View statistics View download statistics for this item

Search Google Scholar

Repository staff login