Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
نویسندگان
چکیده
منابع مشابه
Profits From Buying Losers And Selling Winners In The London Stock Exchange
DeBondt and Thaler (1985) have challenged the notions of market efficiency and of rational investor behaviour. According to their findings stock portfolios that experience negative returns tend to outperform portfolios that experience positive returns, during the subsequent period. In other words, stock returns may be predictable, and this may be due to excessive investor optimism and pessimism...
متن کاملBuying and selling in strategic market games
Players may be allowed to both buy and sell the same commodity in a strategic market game. Any outcome of such a game can also be obtained as an outcome of a game in which players either buy or sell. We present a robust example to show that an equilibrium allocation of the buy and sell game may not be so in the corresponding buy or sell game as the set of achievable allocations for any player, ...
متن کاملDemographics , Stock Market Flows , and Stock Returns ∗
This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models — the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negative...
متن کاملIncreasing market efficiency: Evolution of cross-correlations of stock returns
We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high frequency data the asymmetry of time dependent cross-correlation functions has a decreasing tendency, the position of their peaks are shifted towards the origi...
متن کاملAre Institutions Momentum Traders?
This paper examines institutional trading in momentum portfolios. The key result is that institutions engage in momentum trading over the subsequent 3 quarters, buying winners and selling losers, in response to past returns but not past earnings news. Momentum trading is strengthened, however, when returns are accompanied by earnings news of the same sign. While past high returns predict future...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1993
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1993.tb04702.x