Do Low‐Priced Stocks Drive Long‐Term Contrarian Performance on the London Stock Exchange?
研究了英国市场上低价股是否主导长期反向策略的盈利，发现低价股并非唯一来源，中价亏损股在调整风险后仍有显著正收益，支持过度反应假说。
Abstract We investigate whether low‐priced stocks drive long‐term contrarian performance on the U.K. market. We find that contrarian performance at low, middle, and high price levels is positive. On the Fama‐French risk adjusted basis, we find both low‐priced and middle‐priced losers have significantly positive returns. When we adjust returns by market and liquidity risk, only middle‐priced losers maintain their positive returns. Our results reveal that low‐priced stocks are not fully responsible for contrarian performance. Our empirical evidence is generally consistent with the overreaction hypothesis and behavioral models of value investing.