Abstract
This paper examines the performance of contrarian strategies and investigates whether such contrarian profits are related to firm-specific attributes. Using data from all listed stocks on the Taiwan stock exchange over the period 1990 - 2008, this paper finds a significant abnormal return of 19.39% earned by the contrarian strategy of buying prior losers and selling prior winners ranked by the cumulative abnormal returns over the three-year performance period. Moreover, firm-specific attributes can be utilized to enhance the performance of the contrarian strategy. The contrarian strategy of buying the losers in the bottom market-to-book quartile and selling the winners in the top market-to-book quartile earns a significant abnormal return of 41.18%. Key words: Contrarian strategy, overreaction hypothesis.
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