Tests of the Contrarian Investment Strategy Evidence from the French and German stock markets

Emerging Markets and Financial Resilience

“…Nevertheless, De Bondt and Thaler (1987) further demonstrate that the contrarian returns cannot be attributed to the size effect and reassert that the reversal is indeed caused by overreaction. Subsequent studies confirm the profitability of contrarian strategy in international markets, including in Canada (Mun et al, 2000), Australia (Gaunt, 2000), France and Germany (Mun et al, 1999). Fung (1999) is among the first to study contrarian strategy in the Asian market.…”

The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE

“…To construct the Fama/French SMB and HML portfolio factors, the size and market-to-book ratio of the FTSE All Index constituent stocks are also downloaded from Datastream. The SMB and HML portfolios of the TFM are constructed utilising the approach outlined in Mun, Vasconellos, and Kish (1999). SMB is defined as the time series of differences in average returns between the 10% of firms in the FTSE All Index with the highest, and the 10% with the lowest market capitalisation.…”

“…This paper maintains that our attempt to eliminate the influence of potential biases that may arise as a result of sample selection is a strength of the analysis, and the control samples generated allow us to interpret our results with some confidence. Table 1 provides a summary of some relevant pre-futures listing risk characteristics of both the sample of optioned stocks and the Mun et al (1999). SMB is defined as the time series of differences in average returns between the 10% of firms with the highest market capitalisation and the 10% with the lowest market capitalisation.…”

The Profitability of Contrarian Strategy: Borsa Istanbul Case

“…Bacmann and Dubois (1998) argued that the reason for the abnormal profits caused by the contrarian strategies is because of the overreaction to the firm-specific information. In a study by Mun et al (1999) on France and Germany, it is also argued that the contrarian profits earned with annual winner and loser portfolio is not due to a change in risk but due to the contrarian effect and the overreaction of investors. Kang et al (2002) determined that the explicit contrarian profits are due to the overreaction of stock prices to firmspecific information in a study they conducted on the Chinese stock market.…”