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Performance of the Contrarian Strategy after Extreme Market Movements

Greg Filbeck, Mingsheng Li and Xin Zhao
The Journal of Investing Fall 2013, 22 (3) 53-65; DOI: https://doi.org/10.3905/joi.2013.22.3.053
Greg Filbeck
is Black Family Professor of Insurance and Risk Management at Sam and Irene Black School of Business at Penn State Erie in Erie, PA.
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  • For correspondence: mgf11@psu.edu
Mingsheng Li
is an associate professor of finance at College of Business Administration at Bowling Green State University in Bowling Green, OH.
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  • For correspondence: mli@bgsu.edu
Xin Zhao
is an associate professor of finance at Sam and Irene Black School of Business at Penn State Erie in Erie, PA.
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  • For correspondence: xuz12@psu.edu
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Abstract

In this article, we use detailed event study methodology to test the performance of the contrarian strategy after extreme market movements. Our results indicate that the contrarian strategy is profitable after extreme market movements, regardless of the location in the business cycle. In addition, the contrarian strategy return is larger after extreme market upward movements than extreme market downward movements. The returns earned via contrarian strategy are both economically and statistically significant after controlling for the impact of transaction costs, the January effect, and multiple systematic factors.

TOPICS: Portfolio construction, portfolio theory

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The Journal of Investing: 22 (3)
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Performance of the Contrarian Strategy after Extreme Market Movements
Greg Filbeck, Mingsheng Li, Xin Zhao
The Journal of Investing Aug 2013, 22 (3) 53-65; DOI: 10.3905/joi.2013.22.3.053

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Performance of the Contrarian Strategy after Extreme Market Movements
Greg Filbeck, Mingsheng Li, Xin Zhao
The Journal of Investing Aug 2013, 22 (3) 53-65; DOI: 10.3905/joi.2013.22.3.053
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