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

• 成果类型: Article
• 署名作者: JEGADEESH, N; TITMAN, S
• 署名单位: Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1993.tb04702.x
• 发表日期: 1993
• 页码: 65-91
• 关键词: SECURITY RETURNS; COMMON-STOCKS; overreaction; prices; seasonality; tests

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.