Stocks with better past returns crash more than other stocks on May 6, 2010. I find evidence that this is related to such stocks being unattractive to contrarian buyers. This suggests the importance of contrarian investors in stabilizing price fluctuations. However, the glass is half full---that the contrarian investors shun certain types of stocks limits the extent of price stability that reli...

This paper examines the influence of reversal fear and disposition effect on momentum returns. We find that reversal fear and disposition effect do have significant influence on momentum and contrarian returns. Under different momentum states, these two forces will either augment or offset each other, making momentum and contrarian returns that are significant become no more significant or thos...

stock selection criteria play a key role in contrarian portfolio construction. the usual approach is applying cumulative return as stock selection criteria however applying this criterion leads to ranking stocks without considering investment risk. in this study, we analyze contrarian strategies that are based on reward–risk stock selection criteria in contrast to ordinary contrarian strategies...

When making investment decisions in financial markets, investors use various strategies. The traditional ones include the contrarian strategy and moment strategy. In recent years, one of dynamically developing segments global market has been American REIT market. literature on subject lacks research effectiveness strategies this aim article is therefore to compare momentum US different ranking ...

We empirically test predictability on asset price using stock selection rules based maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- weekly contrarian-style portfolios constructed from these alternative criteria are superior not only in forecasting directions of prices but also capturing cross-sectional return differentials. periods, the ranked by meas...