An Analysis of Contrarian Investment Strategies in the UK

By A. Gregory, Richard D. F. Harris, M. Michou. 2001

113 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/e44da160f4fbf800916ed75e1b3a4fb8e99a6216

Citations in the corpus

• Constructing and Testing Alternative Versions of the Fama-French and Carhart Models in the UK (2011, unknown): “For the reasons outlined in the introduction, we believe it is important to consider the likely investable universe for large investors, and in this paper we use the largest 350 firms as in Gregory et al. (2001, 2003) and Gregory and Michou (2009, hereafter GM).”
• CAPM, Higher Co-moment and Factor Models of UK Stock Returns (2004, unknown): “Kraus and Litzenberger (1976) and more recently Harvey and Siddique (2000) developed asset pricing models incorporating co-skewness terms while Dittmar (2002) developed models incorporating a co-kurtosis term.”