This study analyses the possibility of getting economical gains (riska djusted) through two strategies, based only, in the historical trend of the prices. The Contrarian strategy, De Bondt y Thaler (1985), is based in the reversion of the trend of the prices, and the Momentum strategy, Jegadeesh y Titman (1993), which is based in the continuation of the trend in the prices. The contrarian strategy classifies the stocks based in their performance during a previous 5 years period, and recommends to buy the past losers, to sell the past winners and to keep them during a 3 to 5 years period. In a similar way, the momentum strategy, recommends to buy the past winners, to sell the past losers and to keep them during a 3 to 12 months period. Testing the existence of theses anomalies in the Chilean market it is found, significant (theoretical) returns for a formationtest period of 24 months, in the case of the contrarian strategy and, significant (theoretical) returns for a formation-test period of 6 months, in the case of the momentum strategy.
González A., M. (2006). Contrarian and momentum strategies: Evidence in Chile. Estudios De Administración, 13(1), 67–105. https://doi.org/10.5354/0719-0816.2006.56450
