RETURNS TO BUYING WINNERS AND SELLING LOSERS - IMPLICATIONS FOR STOCK-MARKET EFFICIENCY

被引：4593

作者：

JEGADEESH, N ^{[1
]}

TITMAN, S ^{[1
]}

机构：

[1] HONG KONG UNIV SCI & TECHNOL, KOWLOON, HONG KONG

来源：

JOURNAL OF FINANCE | 1993年 / 48卷 / 01期

关键词：

D O I：

10.1111/j.1540-6261.1993.tb04702.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over 3- to 12-month holding periods. We find that the profitability of these strategies are not due to their systematic risk or to delayed stock price reactions to common factors. However, part of the abnormal returns generated in the first year after portfolio formation dissipates in the following two years. A similar pattern of returns around the earnings announcements of past winners and losers is also documented.

引用

页码：65 / 91

页数：27

共 31 条

[1] NONSTATIONARY EXPECTED RETURNS - IMPLICATIONS FOR TESTS OF MARKET-EFFICIENCY AND SERIAL-CORRELATION IN RETURNS [J].