Testing Overreaction and Contrarian Investment Strategy Using the Holding Period Return

The research done so far by means of overreaction and consequently aimed at gaining abnormal return based on contrarian investment strategy on Tehran stock exchange has been pursuing cumulative abnormal return. Recent studies in developed markets have shown that using cumulative abnormal returns has been biased and led to the wrong results. This research uses the holding period return instead of cumulative abnormal return to have a reliable result. It is based on the study of two، four and six year portfolios. The research findings show that there is overreaction only in long-term periods، but، unlike previous research، using the contrarian investment strategy in any one of the triple periods، doesn''t result in getting abnormal return.