Accounting analyses of momentum and contrarian strategies in emerging markets

M. Nnadi, Sailesh Tanna

Research output: Contribution to journalArticle

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Abstract

We 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. Publisher Statement: This is an Accepted Manuscript of an article published by Taylor & Francis in Asia-Pacific Journal of Accounting & Economics on 30 Jan 2017, available online: http://www.tandfonline.com/10.1080/16081625.2017.1284596
Original languageEnglish
Pages (from-to)(in press)
JournalAsia-Pacific Journal of Accounting & Economics
Volume(in press)
DOIs
StatePublished - 30 Jan 2017

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South Africa
Stock market
Brazil
Profit
Economics
Russia

Bibliographical note

This is an Accepted Manuscript of an article published by Taylor & Francis in Asia-Pacific Journal of Accounting & Economics on 30 Jan 2017, available online: http://www.tandfonline.com/10.1080/16081625.2017.1284596

Keywords

  • Portfolio
  • contrarian
  • momentum
  • markets
  • emerging
  • strategies

Cite this

Accounting analyses of momentum and contrarian strategies in emerging markets. / Nnadi, M.; Tanna, Sailesh.

In: Asia-Pacific Journal of Accounting & Economics, Vol. (in press), 30.01.2017, p. (in press).

Research output: Contribution to journalArticle

Nnadi, M.; Tanna, Sailesh / Accounting analyses of momentum and contrarian strategies in emerging markets.

In: Asia-Pacific Journal of Accounting & Economics, Vol. (in press), 30.01.2017, p. (in press).

Research output: Contribution to journalArticle

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