Evidence of Short-Term Contrarian Effect in Abu Dhabi Firms

1
Ghaith N. Al Eitan
Ghaith N. Al Eitan
2
Omar Gharaibeh
Omar Gharaibeh
3
Bassam Alown
Bassam Alown
1 Al-alBayt University
2 Al Albayt University

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GJMBR Volume 16 Issue C9

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This paper examines the existence of short-term contrarian profits in the Abu Dhabi securities exchanges (ADX) for the period of January 2005 through May 2015. This paper provides strong evidence of short-term contrarian profits. The results of this paper present statistically and economically significant profits in the Abu Dhabi stock market over all formation periods. The short-term contrarian strategy used in this paper produces significant average returns of 2.34%, per month over past six-month formation period. Therefore, to utilize from this strategy in ADX, an investor has to sell and buy a pastshort-term winner portfolio and short-term loser portfolio, respectively. The short-term contrarian profits in the ADX can be explained by three-factor model.

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

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Not applicable for this article.

Ghaith N. Al Eitan. 2017. \u201cEvidence of Short-Term Contrarian Effect in Abu Dhabi Firms\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 16 (GJMBR Volume 16 Issue C9): .

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GJMBR Volume 16 Issue C9
Pg. 17- 24
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Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-C Classification: JEL Code: B26
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v1.2

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January 26, 2017

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English

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This paper examines the existence of short-term contrarian profits in the Abu Dhabi securities exchanges (ADX) for the period of January 2005 through May 2015. This paper provides strong evidence of short-term contrarian profits. The results of this paper present statistically and economically significant profits in the Abu Dhabi stock market over all formation periods. The short-term contrarian strategy used in this paper produces significant average returns of 2.34%, per month over past six-month formation period. Therefore, to utilize from this strategy in ADX, an investor has to sell and buy a pastshort-term winner portfolio and short-term loser portfolio, respectively. The short-term contrarian profits in the ADX can be explained by three-factor model.

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Evidence of Short-Term Contrarian Effect in Abu Dhabi Firms

Omar Gharaibeh
Omar Gharaibeh Al Albayt University
Bassam Alown
Bassam Alown
Ghaith N. Al Eitan
Ghaith N. Al Eitan Al-alBayt University

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