| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2977 |
| 来源ID | Working Paper 2977 |
| When are Contrarian Profits Due to Stock Market Overreaction? | |
| Andrew W. Lo; A. Craig MacKinlay | |
| 发表日期 | 1989-05-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | The profitability of contrarian investment strategies need not be the result of stock market overreaction. Even if returns on individual securities are temporally independent, portfolio strategies that attempt to exploit return reversals may still earn positive expected profits. This is due to the effects of cross-autocovariances from which contrarian strategies inadvertently benefit. We provide an informal taxonomy of return-generating processes that yield positive [and negative] expected profits under a particular contrarian portfolio strategy, and use this taxonomy to reconcile the empirical findings of weak negative autocorrelation for returns on individual stocks with the strong positive autocorrelation of portfolio returns. We present empirical evidence against overreaction as the primary source of contrarian profits, and show the presence of important lead-lag relations across securities. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w2977 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560252 |
| 推荐引用方式 GB/T 7714 | Andrew W. Lo,A. Craig MacKinlay. When are Contrarian Profits Due to Stock Market Overreaction?. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2977.pdf（505KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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