Evidence of Short-Term Contrarian Effect in Abu Dhabi Firms
Keywords:
short-term, contrarian profits, abudhabi securities exchange (ADX), three-factor model
Abstract
This paper examines the existence of short-term contrarian profits in the Abu Dhabi securities exchanges (ADX) for the period of January 2005 through May 2015. This paper provides strong evidence of short-term contrarian profits. The results of this paper present statistically and economically significant profits in the Abu Dhabi stock market over all formation periods. The short-term contrarian strategy used in this paper produces significant average returns of 2.34%, per month over past six-month formation period. Therefore, to utilize from this strategy in ADX, an investor has to sell and buy a pastshort-term winner portfolio and short-term loser portfolio, respectively. The short-term contrarian profits in the ADX can be explained by three-factor model.
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2017-01-26
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