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作者：TITMAN, S
作者单位：Hong Kong University of Science & Technology
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作者：JEGADEESH, N; TITMAN, S
作者单位：Hong Kong University of Science & Technology
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 s...
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作者：FERSON, WE; FOERSTER, SR; KEIM, DB
作者单位：Western University (University of Western Ontario); University of Pennsylvania
摘要：The methods of Gibbons and Ferson (1985) are extended, relaxing the assumption that expected returns are linear functions of predetermined instruments. A model of conditional mean-variance spanning generalizes Huberman and Kandel (1987). The empirical results indicate that more than a single risk premium is needed to model expected stock and bond returns, but the number of common factors in the expected returns is small. However, when size-based common stock portfolios proxy for the risk facto...
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作者：HENDRICKS, D; PATEL, J; ZECKHAUSER, R
摘要：The relative performance of no-load, growth-oriented mutual funds persists in the near term, with the strongest evidence for a one-year evaluation horizon. Portfolios of recent poor performers do significantly worse than standard benchmarks; those of recent top performers do better, though not significantly so. The difference in risk-adjusted performance between the top and bottom octile portfolios is six to eight percent per year. These results are not attributable to known anomalies or survi...
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作者：CONRAD, J; KAUL, G
作者单位：University of Michigan System; University of Michigan
摘要：We show that the returns to the typical long-term contrarian strategy implemented in previous studies are upwardly biased because they are calculated by cumulating single-period (monthly) returns over long intervals. The cumulation process not only cumulates ''true returns but also the upward bias in single-period returns induced by measurement errors. We also show that the remaining ''true'' returns to loser or winner firms have no relation to overreaction. This study has important implicatio...
