Contrarian Investment in the Dutch Stock Market |
| |
Authors: | RQ Doeswijk |
| |
Institution: | (1) Institute for Research and Investment Services B.V, UK |
| |
Abstract: | The efficient markets hypothesis states that at any times security prices fully reflect all available information. Contrarian investment strategies do not recognize the efficiency of capital markets. They call for buying undervalued stocks, i.e. stocks with a low price relative to their fundamentals. The idea behind such a strategy is to take advantage of the extrapolation behaviour of naive investors. Using a fresh and extensive data set from the Dutch stock market, we found that these strategies yield an outperformance without a higher risk. Our results make it hard to maintain the efficient market hypothesis. |
| |
Keywords: | efficient market hypothesis contrarian investment strategies irrational investors return risk outperformance |
本文献已被 SpringerLink 等数据库收录! |