Contrarian and Momentum Strategies in the Spanish Stock Market
Year: 2003
Type: article
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.
Source: European Financial Management
Authors: Carlos Forner, Joaquín Marhuenda
Institution: University of Alicante
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2069719371