Investigating the excess return of contrarian strategy in the active insurance firms in Tehran Stock Exchange

Abstract

Obtaining the appropriate rate of return is the most important expectation of  investors in the investment process and different statategies have been used by investors to gain a required rate of return. Contrarian strategy is one the strategies used recently to predict the return of stock using the historical information.  Contrarian strategy suggests that an excess return can be gained by selling winners stock and buying losers stock. This study examines the excess return of contrarian strategy in the active insurance firms in Tehran Stock Exchange. For this purpose, data of five insurance firms activated from 2007 to 2011 has been collected and analyzed. The variables in this stuey are return of contrarian strategy indaily, monthly and seasonal courses. Data analysis and hypotheses testing include Philips model and AVOVA and T-test statistic has been used to examine the significance of test and the confidence level. The results of study shows that the return of contrarian stratgiey is effective in daily, monthly and seasonal courses.

Keywords: Excess Return, Contrarian Strategy, Insurance Firms, Winner Stock, Loser
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