Do Low-Priced Stocks Drive Long-Term Contrarian Performance on the London Stock Exchange?

Yuliang Wu, Youwei Li, Philip Hamill

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

We investigate whether low-priced stocks drive long-term contrarian performance on the U.K. market. We find that contrarian performance at low, middle, and high price levels is positive. On the Fama-French risk adjusted basis, we find both low-priced and middle-priced losers have significantly positive returns. When we adjust returns by market and liquidity risk, only middle-priced losers maintain their positive returns. Our results reveal that low-priced stocks are not fully responsible for contrarian performance. Our empirical evidence is generally consistent with the overreaction hypothesis and behavioral models of value investing.
Original languageEnglish
Pages (from-to)501-530
Number of pages30
JournalThe Financial Review
Volume47
Issue number3
DOIs
Publication statusPublished - Aug 2012

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

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