Contrarian Investment Strategy: an Empirical Test Based on Data Envelopment Analysis

Studies on profitability of contrarian investment strategy in the Iranian stock market can be classified in two classes: 1) researches based on historical returns, and 2) researches based on fundamental variables. This study, using Data Envelopment Analysis (DEA), provides the possibility that historical return variable and fundamental variables can be used simultaneously. We used portfolio study methodology, regarding three two-year periods in the Tehran stock exchange during 1385-1388(Iranian Calendar). We found that the contrarian investment strategy may obtain excess returns over all.