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The profitability of short-term contrarian strategies for stocks and the factors influencing these strategies in the London Stock Exchange scenario are analyzed.

During the last two decades, the focus of involvement of the International Monetary Fund (IMF) in the developing world, especially the low-income countries, has shifted. The importance of the perception of the local population towards structural adjustment programms and its effect on the success of IMF supported programmes is examined with reference to the Haitian economy.

On face value studies documenting contrarian profits challenge the efficient markets paradigm. However most of them assume that systematic risk is constant when in reality it varies (Ross, 1989) especially in emerging markets (Aggarwal et al., 1999). The study in the first instance investigates whether there are long-term contrarian profits in a thinly traded market, and whether such profits can be rationalized by time variation in risk using a Kalman Filtering approach. The results indicate that failing to incorporate time variation in risk may lead to biased conclusions and present false evidence against the Efficient Market Hypothesis. [ABSTRACT FROM AUTHOR]

This paper investigates the existence of contrarian profits and their sources for the Athens Stock Exchange(ASE). The empirical analysis decomposes contrarian profits to sources due to common factor reactions, overreaction to firm-specific information, and profits not related to the previous two terms, as suggested by Jegadeesh and Titman(1995). Furthermore, in view of recent evidence that common stock returns are related to firm characteristics such as size and book-to-market equity, the paper decomposes contrarian profits to sources due to factors derived from the Fama and French(1993, 1996) three-factor model. For the empirical testing, size-sorted sub-samples that are rebalanced annually are employed, and in addition, adjustments for thin and infrequent trading are made to the data. The results indicate that serial correlation is present in equity returns and that it leads to significant short-run contrarian profits that persist even after we adjust for market frictions. Consistent with findings for the US market, contrarian profits decline as one moves from small stocks to large stocks, but only when market frictions are considered. Furthermore, the contribution to contrarian profits due to the overreaction to the firm-specific component appears larger than the underreaction to the common factors. [ABSTRACT FROM AUTHOR]

Recent empirical evidence indicates that size and book-to-market ratios explain adequately a large part of average stock returns. This paper examines the association of a number of fundamental variables with the cross section of stock returns in the Hong Kong Stock Exchange. The results suggest that, during the 1990s, the small-firm effect has actualty gone into reverse and that size and book-to-market equity have a statistically significant relationship with average returns. Beta has little or no role as an explanatory variable. [ABSTRACT FROM AUTHOR]

Theory suggests that equities are a good hedge against inflation. However, most of the empirical evidence suggests that the relationship between stock returns and inflation is negative. One explanation is the negative correlation between inflation and real output growth. In this paper the relationship between inflation and stock returns is examined for the emerging economy of Greece, during the 1990s. To anticipate the results, the relationship seems to be negative and significant, but only for the period until 1995. Since then, the relationship is not statistically significant, and it is argued that this may be due to the increased role of monetary fluctuations. [ABSTRACT FROM AUTHOR]

This paper empirically investigates the relationship between equity and credit market development and economic growth, in a sample of five very important 'emerging' markets. In particular, employing a multivariate time-series methodology to test for long-run trends and causality between variables that proxy for stock market development, credit market development and economic development. The results seem to suggest that equity markets have a role to play only in relatively liberalized economies, like Chile and Mexico. In financially repressed economies, like India, the equity market does not affect real sector growth. Furthermore, the banking crises in the 1980s and 1990s in Chile and Mexico resulted in a negative relation between economic growth and the credit market. In South Korea, equity and credit markets both affect economic growth, but not vice versa. In countries where the nature of the stock market has been speculative, like Taiwan, a negative relationship is detected between equity market development and economic development. [ABSTRACT FROM AUTHOR]