The winner-loser anomaly: recent evidence from Greece

Cormac O’ Keeffe, Liam A. Gallagher

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)


This article finds evidence of significant reversals in returns over the medium term in Greek stocks. In contrast with previous research, return reversals are more pronounced for past winners, suggesting that the market overreacts to a greater extent to good news. These contrarian returns are particularly elevated when portfolios are formed using quartiles and during tranquil and bull markets. The optimum contrarian strategy involves skipping the first 6 months of the holding period and implementing the contrarian strategy for a period of 18 months, as returns exhibit continuation followed by reversal. The profitability of the contrarian investment strategy is robust to adjustments for risk and seasonalities. It is the tranquil times and not the crisis/volatile times that generates a significant and profitable contrarian strategy. The recent credit crisis and resulting stock market falls, resulted in extreme movements in some Greek stocks and testing of the contrarian strategy problematic, especially when portfolios are decile ordered. Our findings also highlight the importance of survivorship bias and also suggest that contrarian strategies that just use market beta may be ill-equipped to take into consider extreme market movements, illiquidity and short-sales constraints.

Original languageEnglish
Pages (from-to)4718-4728
Number of pages11
JournalApplied Economics
Issue number47
Publication statusPublished - 08 Oct 2017


  • Contrarian strategy
  • credit crisis
  • cumulative abnormal returns
  • distress risk


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