In this paper, we test the profitability of short-term contrarian and momentum strategies, which
take into account the effects of trading activity, size/value characteristics, and asymmetric
investor responses to news for stock markets in Japan, Taiwan, Korea, Hong Kong, Malaysia,
Thailand, and Singapore during 1990-2000. Except for the Taiwanese and Korean markets,
“winner” (“loser”) portfolios experience subsequent reversal (momentum) of stock prices.
Among actively traded stocks, significant contrarian profits can be obtained from only “winner”
portfolios in Japan, while sizeable momentum profits from “loser portfolios” in both Japan and
Hong Kong.
JEL classification: G11; G15
Keywords: trading strategies; trading activities; profitability
