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Testing the contrarian investment strategy using holding period returns

Julie R. Dahlquist (Associate Professor of Finance, Department of Finance and Quantitative Methods, St. Mary’s University, San Antonio, TX)
John P. Broussard (Assistant Professor of Finance, Department of Finance, Rutgers, The State University of New Jersey, Camden, NJ.)

Managerial Finance

ISSN: 0307-4358

Publication date: 1 June 2000

Abstract

Reviews previous research on contrarian investment strategy (i.e. buying “losers” and selling “winners”) and analyses the results of applying the strategy to US stocks 1928‐1992. Explains the methodology and presents the results, which show no statistically significant holding period returns from the strategy, although selling the “winners” is significant. Considers the implications and limitations of the study and calls for further research.

Keywords

Citation

Dahlquist, J.R. and Broussard, J.P. (2000), "Testing the contrarian investment strategy using holding period returns", Managerial Finance, Vol. 26 No. 6, pp. 16-22. https://doi.org/10.1108/03074350010766701

Publisher

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MCB UP Ltd

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