Profitability of Contrarian Strategies in the Chinese Stock Market

摘要: This paper reexamines the profitability of loser, winner and contrarian portfolios in Chinese stock market using monthly data all stocks traded on Shanghai Stock Exchange Shenzhen covering period from January 1997 to December 2012. We find evidence short-term long-term whole sample when estimation holding horizons are 1 month or longer than 12 months annualized return increases with horizons. perform subperiod analysis that effect is significant both bullish bearish states, while disappears states. compare performance based different grouping manners unveil decile outperforms quintile tertile grouping, which more evident robust long run. Generally, loser have positive returns much better portfolios. Both states those period. In contrast, smaller portfolio only term become insignificant. These results one-month skipping between periods for two exchanges. Our findings show not efficient weak form. also obvious practical implications financial practitioners.