Accounting analyses of momentum and contrarian strategies in emerging markets

M. Nnadi, Sailesh Tanna

Research output: Contribution to journalArticle

2 Citations (Scopus)
39 Downloads (Pure)

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)457-477
Number of pages21
JournalAsia-Pacific Journal of Accounting & Economics
Volume26
Issue number4
DOIs
Publication statusPublished - 30 Jan 2017

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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

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