Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange?
Wu, Yuliang; Li, Youwei; Hamill, Philip
Professor Youwei Li Youwei.Li@hull.ac.uk
We investigate whether low‐priced stocks drive long‐term contrarian performance on the U.K. market. We find that contrarian performance at low, middle, and high price levels is positive. On the Fama‐French risk adjusted basis, we find both low‐priced and middle‐priced losers have significantly positive returns. When we adjust returns by market and liquidity risk, only middle‐priced losers maintain their positive returns. Our results reveal that low‐priced stocks are not fully responsible for contrarian performance. Our empirical evidence is generally consistent with the overreaction hypothesis and behavioral models of value investing.
|Journal Article Type||Article|
|Peer Reviewed||Peer Reviewed|
|APA6 Citation||Wu, Y., Li, Y., & Hamill, P. (2012). Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange?. Financial Review, 47(3), 501-530. https://doi.org/10.1111/j.1540-6288.2012.00338.x|
|Keywords||Contrarian performance; London Stock Exchange; Price level|
©2012 The authors. All rights reserved. No part of this publication may be reproduced without the written permission of the copyright holder
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