PROBLEMS IN MEASURING PORTFOLIO PERFORMANCE - AN APPLICATION TO CONTRARIAN INVESTMENT STRATEGIES

• 成果类型: Article
• 署名作者: BALL, R; KOTHARI, SP; SHANKEN, J
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)00806-C
• 发表日期: 1995
• 页码: 79-107
• 关键词: CONTRARIAN STRATEGY; LOW-PRICED STOCKS; Portfolio performance; market efficiency; asset pricing; JEL CLASSIFICATION; G11; G12; G14

摘要

We document problems in measuring raw and abnormal five-year contrarian portfolio returns. 'Loser' stocks are low-priced and exhibit skewed return distributions. Their 163% mean return is due largely to their lowest-price quartile position. A $1/8th price increase reduces the mean by 25%, highlighting their sensitivity to microstructure/liquidity effects. Long positions in low-priced loser stocks occur disproportionately after bear markets and thus induce expected-return effects. A contrarian portfolio formed at June-end earns negative abnormal returns, in contrast with the December-end portfolio. This conclusion is not limited to a particular version of the CAPM.