RT Journal Article SR Electronic T1 Performance of the Contrarian Strategy after Extreme Market Movements JF The Journal of Investing FD Institutional Investor Journals SP 53 OP 65 DO 10.3905/joi.2013.22.3.053 VO 22 IS 3 A1 Greg Filbeck A1 Mingsheng Li A1 Xin Zhao YR 2013 UL https://pm-research.com/content/22/3/53.abstract AB In this article, we use detailed event study methodology to test the performance of the contrarian strategy after extreme market movements. Our results indicate that the contrarian strategy is profitable after extreme market movements, regardless of the location in the business cycle. In addition, the contrarian strategy return is larger after extreme market upward movements than extreme market downward movements. The returns earned via contrarian strategy are both economically and statistically significant after controlling for the impact of transaction costs, the January effect, and multiple systematic factors.TOPICS: Portfolio construction, portfolio theory