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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Alexey Yakubov
Effectiveness of Contrarian Investing in the Russian Stock Market
Economics
(Bachelor’s programme)
2017
The present paper is dedicated to the research of the strategy which compelled the attention of scientific community in the end of the last century – the strategy of contrarian investing. The strategy supposes taking long position in stocks which demonstrated the worst results in terms of return, and short – in stocks with the highest return for the previous period. Despite the fact that its applicability was tested in different world markets, in Russia it was covered just partly. Besides, the known strategy’s simplicity provokes additional interest of ordinary investors. Precisely, the evaluation of contrarian strategy’s effectiveness is the main aim of this paper. With the use of statistic and econometric analysis it was revealed that contrarian investing, in the absence of portfolio formation in the years of flat market, generates the return of nearly 15% annually (after adjustment to transaction costs). The profitability of the contrarian strategy is mainly caused by companies-losers’ abnormal return reversal, but at the same time it is not conditioned on January effect, size effect or excessive risk. That is why, it was concluded that there is an overreaction effect in the Russian stock market.

The obtained results may be useful for private and institutional investors, researchers of the Russian stock market and also for market specialists, interested in studying the market anomalies.

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