Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
1993/03/01 by Narasimhan Jegadeesh, NARASIMHAN JEGADEESH, Sheridan Titman +1 · 59 citations
Economics, Econometrics and Finance · Business, Management and Accounting · #Financial Markets and Investment Strategies #Corporate Finance and Governance #Auditing, Earnings Management, Governance
paper · doi:10.1111/j.1540-6261.1993.tb04702.x
Abstract
ABSTRACT 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.
Citations
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