Long-Term Contrarian profits in the Middle East Market Indices
Abstract
This paper examines whether there is an existence of a long-term contrarian profits at the Middle East (ME) market indices. This paper shows strong evidence for the long-term contrarian strategy in the Middle East indices. The result of this study demonstrates that the long-term contrarian profits for the Middle East markets can’t be explained by two-factor model. In spite of whether winners are smaller or larger than losers, there are long-term abnormal profits. Finally, the findings in this paper suggest that the long-term contrarian profits may be stronger and more enveloping than is usually understood.
KEYWORDS: long-term contrarian, Middle East (ME), market indices, two-factor model.
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ISSN (Paper)2222-1697 ISSN (Online)2222-2847
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