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Contrarian and Momentum Strategies in the Spanish Stock Market

Contrarian and Momentum Strategies in the Spanish Stock Market There is extensive international evidence that the momentum strategy yields positive abnormal returns when short–term periods are considered, whereas the contrarian strategy is effective for long–term periods. However, this topic has received scarce attention in the Spanish stock market. We show that these two phenomena seem to be present in this market, and in particular that the 12–month momentum strategy and the 60–month contrarian strategy yield positive abnormal returns, although the effectiveness of the contrarian strategy is under suspicion when non–overlapping test periods are used. Our study therefore provides additional evidence that the results obtained in the literature on this topic are not from data snooping. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png European Financial Management Wiley

Contrarian and Momentum Strategies in the Spanish Stock Market

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References (56)

Publisher
Wiley
Copyright
Blackwell Publishing Ltd 2003
ISSN
1354-7798
eISSN
1468-036X
DOI
10.1111/1468-036X.00208
Publisher site
See Article on Publisher Site

Abstract

There is extensive international evidence that the momentum strategy yields positive abnormal returns when short–term periods are considered, whereas the contrarian strategy is effective for long–term periods. However, this topic has received scarce attention in the Spanish stock market. We show that these two phenomena seem to be present in this market, and in particular that the 12–month momentum strategy and the 60–month contrarian strategy yield positive abnormal returns, although the effectiveness of the contrarian strategy is under suspicion when non–overlapping test periods are used. Our study therefore provides additional evidence that the results obtained in the literature on this topic are not from data snooping.

Journal

European Financial ManagementWiley

Published: Mar 1, 2003

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