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An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach

Asgharian, Hossein LU and Hansson, Björn LU (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.
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author
organization
publishing date
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
2009-06-03 14:40:18
date last changed
2017-01-01 04:40:02
@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},
  volume       = {16},
  year         = {2009},
}