Short-term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?

2006 ◽  
Vol 33 (5-6) ◽  
pp. 839-867 ◽  
Author(s):  
Antonios Antoniou ◽  
Emilios C. Galariotis ◽  
Spyros I. Spyrou
Keyword(s):  
Stock Exchange ◽  
Short Term ◽  
London Stock Exchange ◽  
Contrarian Strategies

scholarly journals Profits From Buying Losers And Selling Winners In The London Stock Exchange

2011 ◽  
Vol 1 (11) ◽  
Author(s):  
Antonios Antoniou ◽  
Emilios C. Galariotis ◽  
Spyros I. Spyrou
Keyword(s):  
Market Efficiency ◽  
Stock Returns ◽  
Stock Exchange ◽  
London Stock Exchange ◽  
Stock Portfolios ◽  
Contrarian Strategies ◽  
Subsequent Period ◽  
Investor Optimism ◽  
Investor Behaviour ◽  
Market Capitalisation

<p>DeBondt and Thaler (1985) have challenged the notions of market efficiency and of rational investor behaviour. According to their findings stock portfolios that experience negative returns tend to outperform portfolios that experience positive returns, during the subsequent period. In other words, stock returns may be predictable, and this may be due to excessive investor optimism and pessimism. This paper investigates the existence of such contrarian profits for stocks listed in the London Stock Exchange. The results indicate that contrarian strategies are profitable for UK stocks and more pronounced for extreme market capitalisation stocks. These profits persist even after the sample is adjusted for market frictions, and irrespective of whether raw or risk-adjusted returns are used.</p>

Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange

2007 ◽  
Vol 17 (3) ◽  
pp. 221-235 ◽  
Author(s):  
Spyros Spyrou ◽  
Konstantinos Kassimatis ◽  
Emilios Galariotis
Keyword(s):  
Stock Exchange ◽  
Short Term ◽  
London Stock Exchange

Trust and Regulation in Corporate Capital Markets before 1914

2018 ◽  
Author(s):  
Leslie Hannah
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Legal Regulation ◽  
Securities Market ◽  
Market Development ◽  
Shareholder Rights ◽  
London Stock Exchange ◽  
Local Elites ◽  
Corporate Capital ◽  
Trust Networks

Historians have struggled to explain how stock markets could develop—with notable vigour in many countries before 1914—before modern shareholder protections were legally mandated. Trust networks among local elites—and/or information signalling to public investors—substituted for legal regulation, but this chapter suggests real limits to such processes. They are especially implausible when applied to giant companies with ownership substantially divorced from control, of which there were many with—nationally and internationally—dispersed shareholdings. In London—the largest pre-1914 securities market—strong supplementary supports for market development were provided by mandatory requirements for transparency and anti-director rights in UK statutory companies and by low new issue fees. There were also stringent London Stock Exchange requirements for other companies wanting the liquidity benefits of official listing. Shareholder rights were similarly achieved in Brazil and other countries and colonies dependent on British capital.

scholarly journals Price adjustments on the Johannesburg Stock Exchange for unexpected and dramatic news events: An empirical analysis

1989 ◽  
Vol 20 (3) ◽  
pp. 119-128 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Empirical Analysis ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Short Term ◽  
Johannesburg Stock Exchange ◽  
Price Adjustments ◽  
Weak Evidence ◽  
News Events ◽  
One Year

The objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange overreacted to unexpected favourable and unfavourable company-specific news events during the period 1970 - 1984. The JSE appears to be inefficient in reacting to the announcement of unfavourable news; economically significant abnormal returns up to one year following the event are observed. The JSE does not appear to overreact to news of a favourable nature, there is only weak evidence of short-term overreaction. The selling pressure caused by panic selling could depress prices well below levels justified by the unfavourable news. The magnitude of the overreaction to unfavourable news is sufficient to enable astute investors to outperform the market by taking positions in these securities. Knowledge of the pattern of market overreaction can also be of value to investors for transactions that are to take place anyway.

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