Sources of contrarian profits in the Japanese stock market

摘要: Abstract This paper investigates the profitability of contrarian strategies on Tokyo Stock Exchange (TSE) across various ranking and holding horizons ranging from 1 month to 3 years. In sharp contrast evidence U.S. European markets, our data show that are profitable in Japan all horizons, especially with a very short horizon or long 2 years longer. The results robust skipping between periods, excluding firms extreme past returns, partitioning whole sample into bull bear subperiods. addition, we find perform much better when aggregate market also performs either period. Finally, profits mostly attributed lead–lag effect. Further analysis indicates not pricing errors Fama–French three-factor model. Instead, mainly due cross-autocorrelations among firm-specific error components