An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach
(2009) In Applied Economics Letters 16(6). p.625-628- Abstract
- We use a latent factor approach to investigate if the momentum and contrarian profits, observed in the US stock market, should be considered as risk premiums or have nonrisk-based explanations. The model is also employed as a benchmark to assess the explanatory power of the traditional asset-pricing models in this context. Our findings show that the profits of the long-run contrarian strategy are related to some other background risk factors, whereas the momentum and the short-run contrarian profits are mostly nonrisk based. The latter finding mainly supports investors' behavioural irrationality as an explanation of these anomalies.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1401975
- author
- Asgharian, Hossein LU and Hansson, Björn LU
- organization
- publishing date
- 2009
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Applied Economics Letters
- volume
- 16
- issue
- 6
- pages
- 625 - 628
- publisher
- Routledge
- external identifiers
-
- wos:000264375000014
- scopus:67650047856
- ISSN
- 1466-4291
- DOI
- 10.1080/17446540802277161
- language
- English
- LU publication?
- yes
- id
- 604ebbe5-02c1-4078-b0cd-3351cc1a4516 (old id 1401975)
- date added to LUP
- 2016-04-01 11:55:11
- date last changed
- 2022-01-26 20:10:36
@article{604ebbe5-02c1-4078-b0cd-3351cc1a4516,
abstract = {{We use a latent factor approach to investigate if the momentum and contrarian profits, observed in the US stock market, should be considered as risk premiums or have nonrisk-based explanations. The model is also employed as a benchmark to assess the explanatory power of the traditional asset-pricing models in this context. Our findings show that the profits of the long-run contrarian strategy are related to some other background risk factors, whereas the momentum and the short-run contrarian profits are mostly nonrisk based. The latter finding mainly supports investors' behavioural irrationality as an explanation of these anomalies.}},
author = {{Asgharian, Hossein and Hansson, Björn}},
issn = {{1466-4291}},
language = {{eng}},
number = {{6}},
pages = {{625--628}},
publisher = {{Routledge}},
series = {{Applied Economics Letters}},
title = {{An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach}},
url = {{http://dx.doi.org/10.1080/17446540802277161}},
doi = {{10.1080/17446540802277161}},
volume = {{16}},
year = {{2009}},
}