Contrarian strategy risks on the Warsaw Stock Exchange
Contrarian strategy risks on the Warsaw Stock Exchange

Summary/Abstract: Selling winners stocks and simultaneously buying losers stocks constitute the core of contrarian strategies. The author investigates risks of contrarian investments strategies in Warsaw Stock Exchange. Winners and losers stocks are identified on the basis of monthly trading volume and return features. Overlapping six years periods method was used for building portfolios at yearly intervals, guaranteeing their elasticity. Contrarian portfolio risk was evaluated with time-varying beta coefficients values. The contrarian portfolios had leverage induced risk in Warsaw Stock Exchange between 2003-2013.

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