An Investigation of the Efficiency of Portfolio Investors’ Behavior
John Mylonakis

Abstract
This study examines whether a contrarian investment strategy, implying simultaneously buying previous shares, which had the lowest performance (losers) for a specified period and selling shares that have increased yields (winners) over the same period, works in the Athens Stock Exchange (ASE). The study is based on monthly data from a sample of 156 shares of companies listed on the Athens Stock Exchange for the 01/01/2000-01/06/2009 period. The empirical results differ seriously from period to period. Overall, research results do not lead to a conclusion while in certain cases show contradictory conclusions depending on the period under examination. It is also proved that the achievement of irregular yields, by adopting a contrarian investment strategy, is possible in a period when the Index show loses rather than profits.

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