Does Time Variation in Systematic Risk Affect the Profitability of Contrarian Investment Strategies?
“To anticipate the results, we find that longer horizon contrarian strategies are more profitable than shorter horizon strategies.”
AssetEquities
StrategyShort-term reversalmachine learning
GeographyEmerging markets
FrequencyMonthly
Also stated: Alpha, Profit
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodShort-term reversal by year
FamilyShort-term reversal17Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 985
AssetEquities12
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Are Contrarian Investment Strategies Profitable in the London Stock Exchange? Where Do These Profits Come from? by Antoniou et al. | 2003 | ||||
| A Hybrid Momentum-contrarian Portfolio Strategy: Evidence from U.S. Equity Indices (2004-2024) by Hoseini | 2026 | ||||
| Reversal Anomaly in a Retail-Dominated Market and a Forward Bias Audit of Public Financial Data: Empirical Evidence and Methodological Contributions from the Beijing Stock Exchange by Zhang | 2026 | ||||
| Short-term Reversal in Chinese A-Shares: Statistical Predictability, Economic Tradability, and Multiple Testing by Fang and Wang | 2026 | ||||
| Impact of Quantitative Trading Strategies on Portfolio Performance during Market Volatility: Evidence from Indian Markets by Srivastava | 2026 |