Abstract
In contrarian trading, investors buy and sell loser stocks (lowest average historical prices) and winner stocks (highest average historical prices), respectively. This study examines whether (a) Thailand Sustainability Investment-listed companies outperform Stock Exchange of Thailand (SET)-listed companies (from 1 January 2016 to 31 December 2019) in contrarian profits, (b) the five-factor model outperforms their 1993 three-factor model in explaining contrarian profits, and (c) risk drives the earnings of contrarians. Companies were divided into portfolios of winners and losers based on the average of the daily historical prices held in various eras. The SET-listed companies perform better in generating profits. The root mean squared error and mean absolute error—measurements of model accuracy—report that the error from the three-factor model is smaller than the one from the five-factor model. Thus, the three-factor model is applied to estimate the risk-adjusted return. Zero contrarian profits after risk adjustment confirms that they are risk-driven.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.