Winner-loser reversals in national stock market indices: Can they be explained?

• 成果类型: Article
• 署名作者: Richards, AJ
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb02755.x
• 发表日期: 1997
• 页码: 2129-2144
• 关键词: CONTRARIAN INVESTMENT; Expected returns; WORLD PRICE; RISK; predictability; EFFICIENCY; equity

摘要

This article examines possible explanations for ''winner-loser reversals'' in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the world, While there is evidence that small markets are subject to larger reversals than large markets, perhaps due to some form of market imperfection, the reversals are not only a small-market phenomenon. The apparent anomaly of winner-loser reversals in national market indices therefore remains unresolved.