Accounting analyses of momentum and contrarian strategies in emerging markets

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dc.contributor.authorNnadi, Matthias Akandu
dc.contributor.authorTanna, S.
dc.date.accessioned2017-03-17T14:05:09Z
dc.date.available2017-03-17T14:05:09Z
dc.date.issued2017-01-30
dc.description.abstractWe analyse the momentum and contrarian effects of stock markets in Brazil, Russia, India, China and South Africa (BRICS) using accounting data. The five markets show different characteristics with the Indian market having the strongest momentum effect. Stock markets in China and Brazil show significant short-term contrarian profit and intermediate to long-term momentum profit while South Africa shows short-term momentum effect and intermediate to long-term contrarian effect. The Russian stock market reveals largely insignificant momentum portfolio returns. We also find evidence that the contrarian profits in South Africa and China are caused by relatively high loser returns while positive momentum profit in India results from relatively high winner returns.en_UK
dc.identifier.citationNnadi M, Tanna S, Accounting analyses of momentum and contrarian strategies in emerging markets, Asia-Pacific Journal of Accounting and Economics, Available online 30 January 2017en_UK
dc.identifier.issn1608-1625
dc.identifier.urihttp://dx.doi.org/10.1080/16081625.2017.1284596
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/11614
dc.language.isoenen_UK
dc.publisherTaylor & Francisen_UK
dc.rightsAttribution-NonCommercial 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.subjectPortfolioen_UK
dc.subjectcontrarianen_UK
dc.subjectmomentumen_UK
dc.subjectmarketsen_UK
dc.subjectemergingen_UK
dc.subjectstrategiesen_UK
dc.titleAccounting analyses of momentum and contrarian strategies in emerging marketsen_UK
dc.typeArticleen_UK

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