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Sources of contrarian profits in the Japanese stock market
16 references·16 citing·23 second hopsampled
Sources of contrarian profits in the Japanese stock market (2007)Sources of contrarian profits in the Japa…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…A model of investor sentiment /A model of investor sentiment…Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks (2023)Predicting macro-financial in…The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50 (2020)The profitability of Bollinge…Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets (2017)Wax and wane of the cross-sec…Time series momentum and contrarian effects in the Chinese stock market (2017)Time series momentum and cont…The costs and benefits of short sale disclosure (2015)The costs and benefits of sho…Profitability of Contrarian Strategies in the Chinese Stock Market (2015)Profitability of Contrarian S…The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan (2014)The credit risk–return puzzle…Is Japan Different? Evidence on Momentum and Market Dynamics (2014)Is Japan Different? Evidence …Glamour brands and glamour stocks (2014)Glamour brands and glamour st…The profitability of candlestick charting in the Taiwan stock market (2013)The profitability of candlest…An analysis of the impact of media coverage on stock price crashes and jumps: Evidence from Japan (2013)An analysis of the impact of …STOCK MARKET OVERREACTION AND TRADING VOLUME: EVIDENCE FROM MALAYSIA (2011)STOCK MARKET OVERREACTION AND…Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange (2010)Expected return, liquidity ri…WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS (2009)WHY DO EMERGING STOCK MARKETS…Information Content of Other Comprehensive Income and Net Income: Evidence for Japanese Firms (2009)Information Content of Other …US Barbarians at the Japan Gate: Cross Border Hedge Fund Activism (2008)US Barbarians at the Japan Ga…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Noise Trader Risk in Financial Markets (1990)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Continuous Auctions and Insider Trading (1985)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 1987Further Evidence On Investor Overreaction and Stock Market Seasonality

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2,374 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • Cited by

    • 2013An analysis of the impact of media coverage on stock price crashes and jumps: Evidence from Japan82 cited
    • 2009WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS46 cited
    • 2014Glamour brands and glamour stocks43 cited
    • 2014Is Japan Different? Evidence on Momentum and Market Dynamics43 cited
    • 2013The profitability of candlestick charting in the Taiwan stock market37 cited
    • 2017Time series momentum and contrarian effects in the Chinese stock market35 cited
    • 2009Information Content of Other Comprehensive Income and Net Income: Evidence for Japanese Firms34 cited
    • 2015Profitability of Contrarian Strategies in the Chinese Stock Market33 cited
    • 2020The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 5030 cited
    • 2011STOCK MARKET OVERREACTION AND TRADING VOLUME: EVIDENCE FROM MALAYSIA29 cited
    • 2023Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks27 cited
    • 2010Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange26 cited
    • 2017Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets26 cited
    • 2015The costs and benefits of short sale disclosure25 cited
    • 2014The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan23 cited
    • 2008US Barbarians at the Japan Gate: Cross Border Hedge Fund Activism19 cited