Accounting analyses of momentum and contrarian strategies in emerging markets *. Issue 4 (4th July 2019)

• Record Type: Journal Article
• Authors: Nnadi, Matthias; Tanna, Sailesh
• Is Part Of: Asia-Pacific journal of accounting & economics. Volume 26:Issue 4(2019)
• Page Start: 457
• Page End: 477
• Publication Date: 2019-07-04
• Subjects: Portfolio -- contrarian -- momentum -- markets -- emerging -- strategies; Accounting -- Periodicals; Accounting -- Pacific Area -- Periodicals; Economics -- Periodicals; Pacific Area -- Economic conditions -- Periodicals; 657
• DOI: 10.1080/16081625.2017.1284596
• Languages: English
• ISSNs: 1608-1625

Abstract

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.