Accounting analyses of momentum and contrarian strategies in emerging marketsFootnote ^*

*Accepted by Yue Ma upon recommendation by Junbo Wang

References

• Abinzano, I., L. Muga, and R. Santamaria. 2010. “The Role of Over-reaction and the Disposition Effect in Explaining Momentum in Latin American Emerging Markets.” Investigación Económica 69 (273): 151–186.
   Web of Science ®Google Scholar
• Ansari, V. A., and S. Khan. 2012. “Momentum Anomaly: Evidence from India.” Managerial Finance 38 (2): 206–223.10.1108/03074351211193730
   Web of Science ®Google Scholar
• Banz, Rolf W. 1981. “The Relationship between Return and Market Value of Common Stocks.” Journal of Financial Economics March, 9 (1): 3–18.10.1016/0304-405X(81)90018-0
   Web of Science ®Google Scholar
• Barberis, N., A. Shleifer, and R. Vishny. 1998. “A model of investor sentiment.” Journal of Financial Economics 49 (3): 307–343.10.1016/S0304-405X(98)00027-0
   Web of Science ®Google Scholar
• Biglova, A., T. Jašić, S. Rachev, and F. J. Fabozzi. 2004. “Profitability of Momentum Strategies: Application of Novel Risk/Return Ratio Stock Selection Criteria.” Investment Management and Financial Innovations 4: 47–61.
   Google Scholar
• Brown, P., D. B. Keim, A. W. Kleidon, and T. A. Marsh. 1983. “Stock Return Seasonalities and the Tax-loss Selling Hypothesis.” Journal of Financial Economics 12 (1): 105–127.10.1016/0304-405X(83)90030-2
   Web of Science ®Google Scholar
• Chan, L. K., N. Jegadeesh, and J. Lakonishok. 1999. “Momentum Strategies.” The Journal of Finance 51 (5): 1681–1713.
   Google Scholar
• Chang, R. P., D. W. McLeavey, and S. G. Rhee. 1995. “Short-term Abnormal Returns of the Contrarian Strategy in the Japanese Stock Market.” Journal of Business Finance & Accounting 22: 1035–1048.10.1111/jbfa.1995.22.issue-7
   Google Scholar
• Chen, H. 2003. “On Characteristics Momentum.” Journal of Behavioral Finance 4 (3): 137–156.10.1207/S15427579JPFM0403_4
   Google Scholar
• Chen, Q., X. Hua, and Y. Jiang. 2015. “Contrarian Strategy and Herding Behaviour in the Chinese Stock Market.” The European Journal of Finance. doi:10.1080/1351847X.2015.1071715.
   Google Scholar
• Cheng, J. W., and H. Wu. 2010. “The Profitability of Momentum Trading Strategies: Empirical Evidence from Hong Kong.” International Review of Economics & Finance 19 (4): 527–538.10.1016/j.iref.2010.03.006
   Web of Science ®Google Scholar
• Chui, A. C., S. Titman, and K. C. Wei. 2003. “Intra-industry Momentum: The Case of REITs.” Journal of Financial Markets 6 (3): 363–387.10.1016/S1386-4181(03)00002-8
   Web of Science ®Google Scholar
• Chui, A. C., S. Titman, and K. J. Wei. 2010. “Individualism and Momentum around the World.” The Journal of Finance 65 (1): 361–392.10.1111/j.1540-6261.2009.01532.x
   Web of Science ®Google Scholar
• Clare, A., and S. Thomas. 1995. “The Overreaction Hypothesis and the UK Stockmarket.” Journal of Business Finance & Accounting 22 (7): 961–973.10.1111/jbfa.1995.22.issue-7
   Google Scholar
• Conrad, J., and G. Kaul. 1998. “An Anatomy of Trading Strategies.” Review of Financial Studies 11: 489–519.10.1093/rfs/11.3.489
   Web of Science ®Google Scholar
• De Bondt, W. F. M., and R. Thaler. 1985. “Does the Stock Market Overreact?” The Journal of Finance 40: 793–805.10.1111/j.1540-6261.1985.tb05004.x
   Web of Science ®Google Scholar
• Dissanaike, G. 1997. “Do Stock Market Investors Overreact?” Journal of Business Finance & Accounting 24 (1): 27–50.10.1111/jbfa.1997.24.issue-1
   Google Scholar
• Dyl, E. A., and E. D. Maberly. 1992. “Odd-lot Transactions around the Turn of the Year and the January Effect.” The Journal of Financial and Quantitative Analysis 27 (4): 591–604.10.2307/2331142
   Web of Science ®Google Scholar
• Edmister, R. O., and C. James. 1983. “Is Illiquidity a Bar to Buying Small Cap Stocks?” The Journal of Portfolio Management 9 (4): 14–19.10.3905/jpm.1983.408927
   Google Scholar
• Fama, E. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” The Journal of Finance 25 (2): 383–417.10.2307/2325486
   Web of Science ®Google Scholar
• Fama, E., and K. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56.10.1016/0304-405X(93)90023-5
   Web of Science ®Google Scholar
• Forner, C., and J. Marhuenda. 2003. “Contrarian and Momentum Strategies in the Spanish Stock Market.” European Financial Management 9 (1): 67–88.10.1111/eufm.2003.9.issue-1
   Google Scholar
• Griffin, J. M., X. Ji, and J. S. Martin. 2005. “Global Momentum Strategies.” The Journal of Portfolio Management 31 (2): 23–39.10.3905/jpm.2005.470576
   Web of Science ®Google Scholar
• Habib, U. R., and M. M. Hasan. 2012. “Momentum Effect: Empirical Evidence from Karachi Stock Exchange.” Accessed February 1, 2016. http://pide.org.pk/psde/pdf/AGM28/Habir%20Ur%20Rahman%20and%20Hasan%20M%20Mohsin.pdf
   Google Scholar
• Hameed, A., and Y. Kusnadi. 2002. “Momentum Strategies: Evidence from Pacific Basin Stock Markets.” Journal of Financial Research 25 (3): 383–397.10.1111/jfir.2002.25.issue-3
   Google Scholar
• Hameed, A., and S. Ting. 2000. “Trading Volume and Short-horizon Contrarian Profits: Evidence from the Malaysian Market.” Pacific-Basin Finance Journal 8 (1): 67–84.10.1016/S0927-538X(99)00029-3
   Google Scholar
• Hon, M., and I. Tonks. 2001. Momentum in the UK Stock Market, 516. Discussion papers. University of Bristol, Department of Economics.
   Google Scholar
• Hong, H., and J. C. Stein. 1999. “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets.” The Journal of Finance 54: 2143–2184.10.1111/0022-1082.00184
   Web of Science ®Google Scholar
• Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance 48: 65–91.10.1111/j.1540-6261.1993.tb04702.x
   Web of Science ®Google Scholar
• Jostova, G. N., Stanislava Nikolova, Alexander Philipov, and C. N. Stahel. 2013. “Momentum in Corporate Bond Returns.” Review of Financial Studies 26 (7): 1649–1693.10.1093/rfs/hht022
   Web of Science ®Google Scholar
• Kahneman, D., and A. Tversky. 1979. “Prospect Theory: An Analysis of Decision under Risk.” Econometrica 47 (2): 263.10.2307/1914185
   Web of Science ®Google Scholar
• Kang, J., M. H. Liu, and S. X. Ni. 2002. “Contrarian and Momentum Strategies in the China Stock Market: 1993–2000.” Pacific-Basin Finance Journal 10 (3): 243–265.10.1016/S0927-538X(02)00046-X
   Google Scholar
• Keim, D. B. 1983. “Size-related Anomalies and Stock Return Seasonality.” Journal of Financial Economics 12 (1): 13–32.10.1016/0304-405X(83)90025-9
   Web of Science ®Google Scholar
• Kothari, S. P., J. Shanken, and R. G. Sloan. 1995. “Another Look at the Cross-section of Expected Stock Returns.” The Journal of Finance 50 (1): 185–224.10.1111/j.1540-6261.1995.tb05171.x
   Web of Science ®Google Scholar
• Kumar, M., and M. Thenmozhi. 2014. “Forecasting Stock Index Returns Using ARIMA-SVM, ARIMA-ANN, and ARIMA-Random Forest Hybrid Models.” International Journal of Banking, Accounting and Finance 5 (3): 284–308.10.1504/IJBAAF.2014.064307
   Google Scholar
• La Porta, R. 1996. “Expectations and the Cross-section of Stock Returns.” The Journal of Finance 51 (5): 1715–1742.10.1111/j.1540-6261.1996.tb05223.x
   Web of Science ®Google Scholar
• Lehmann, B. 1990. “Fads, Martingales, and Market Efficiency.” The Quarterly Journal of Economics 105: 1–28.10.2307/2937816
   Web of Science ®Google Scholar
• Liu, W., N. Strong, and X. Xu. 2003. “Post–Earnings–Announcement Drift in the UK.” European Financial Management 9 (1): 89–116.10.1111/eufm.2003.9.issue-1
   Google Scholar
• Marshall, B. R., and R. M. Cahan. 2005. “Is the 52-week High Momentum Strategy Profitable outside the US?” Applied Financial Economics 15 (18): 1259–1267.10.1080/09603100500386008
   Google Scholar
• Muga, L., and R. Santamaría. 2007. “The Momentum Effect in Latin American Emerging Markets.” Emerging Markets Finance and Trade 43 (4): 24–45.10.2753/REE1540-496X430402
   Web of Science ®Google Scholar
• Naranjo, A., and B. Porter. 2007. “Including Emerging Markets in International Momentum Investment Strategies.” Emerging Markets Review 8: 147–166.10.1016/j.ememar.2007.01.001
   Google Scholar
• Nnadi, M. 2015. “Stock Market Reaction, Financial Reporting Quality and International Financial Reporting Standards (IFRS) Convergence of Listed Firms in China.” Global Business and Economics Review 17 (4): 399–416.10.1504/GBER.2015.072495
   Google Scholar
• Nnadi, M., K. Omoteso, and Y. Yu. 2015. “Does Regulatory Environment Affect Earnings Management in Transitional Economies? An Empirical Examination of the Financial Reporting Quality of Cross-listed Firms of China and Hong Kong (in) Rustam Jamilov, Yusaf H. Akbar.” Neo-Transitional Economics. International Finance Review 16: 245–276.10.1108/ifr
   Google Scholar
• Okunev, J., and D. White. 2003. “Do Momentum-based Strategies Still Work in Foreign Currency Markets?” The Journal of Financial and Quantitative Analysis 38 (2): 425–448.10.2307/4126758
   Web of Science ®Google Scholar
• Ouzounis, G., C. Gaganis, and C. Zopounidis. 2009. “Prediction of Acquisitions and Portfolio Returns.” International Journal of Banking, Accounting and Finance 1 (4): 381–406.10.1504/IJBAAF.2009.023151
   Google Scholar
• Pathirawasam, C., and M. Kráľ. 2012. “Momentum Effect and Market States: Emerging Market Evidence.” E+M Ekonomie a Management 15 (2): 115–124.
   Web of Science ®Google Scholar
• Roll, R. 1981. “A Possible Explanation of the Small Firm Effect.” The Journal of Finance 36 (4): 879–888.10.1111/j.1540-6261.1981.tb04890.x
   Web of Science ®Google Scholar
• Roll, R. 1983. “Vas Ist Das?” The Journal of Portfolio Management 9 (2): 18–28.10.3905/jpm.1983.18
   Google Scholar
• Schiereck, D., W. De Bondt, and M. Weber. 1999. “Contrarian and Momentum Strategies in Germany.” Financial Analysts Journal 104–116.10.2469/faj.v55.n6.2317
   Google Scholar
• Sehgal, S., and I. Balakrishnan. 2002. “Contrarian and Momentum Strategies in the Indian Capital Market.” Vikalpa 27 (1): 13–20.10.1177/0256090920020103
   Google Scholar
• Sehgal, S., and S. Jain. 2011. “Short-term Momentum Patterns in Stock and Sectoral Returns: Evidence from India.” Journal of Advances in Management Research 8 (1): 99–122.10.1108/09727981111129327
   Google Scholar
• Sehgal, S., S. Jain, D. la Morandiere, and L. Porteu. 2013. “Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets.” International Journal of Business & Finance Research (IJBFR) 7 (2): 53–78.
   Google Scholar
• Simon, A., and J. Nowland. 2015. “Long-term Growth Forecasts and Stock Recommendation Profitability.” Asia-Pacific Journal of Accounting & Economics 22 (2): 163–190.10.1080/16081625.2014.937561
   Web of Science ®Google Scholar
• Tversky, A., and D. Kahneman. 1986. “Rational Choice and the Framing of Decisions.” The Journal of Business 59 (S4): S251–267.10.1086/jb.1986.59.issue-S4
   Web of Science ®Google Scholar
• Tversky, A., and D. Kahneman. 1992. “Advances in Prospect Theory: Cumulative Representation of Uncertainty.” Journal of Risk and Uncertainty 5 (4): 297–323.10.1007/BF00122574
   Web of Science ®Google Scholar
• Urrutia, J., and J. D. Vu. 2004. “Do Momentum Strategies Generate Profits in Emerging Stock Markets?” Unpublished Mimeograph. Pennsylvania University.
   Google Scholar
• Wang, C., and S. Chin. 2004. “Profitability of Return and Volume-based Investment Strategies in China’s Stock Market.” Pacific-Basin Finance Journal 12 (5): 541–564.10.1016/j.pacfin.2003.12.002
   Google Scholar
• World Bank. 2006. The Road to 2050: Sustainable Development for the 21st Century. Washington, DC: The World Bank.
   Google Scholar
• Wu, R., and H. W. Lin. 2013. “Security Analysts’ Incentive and Cognitive Processing Bias: Evidence from Analysts’ Recommendations.” Asia-Pacific Journal of Accounting & Economics 21 (4): 443–471.
   Web of Science ®Google Scholar