An analysis of momentum and contrarian anomalies using an orthogonal portfolio approach
Författare
Summary, in English
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.
Avdelning/ar
Publiceringsår
2009
Språk
Engelska
Sidor
625-628
Publikation/Tidskrift/Serie
Applied Economics Letters
Volym
16
Issue
6
Dokumenttyp
Artikel i tidskrift
Förlag
Routledge
Ämne
- Economics
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1466-4291