The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Problems in measuring portfolio performance An application to contrarian investment strategies
Open accessAbstract
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 $18-th price increase reduces the mean by 25%, highlighting their sensitivity to micro-structure/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.
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Citations
Cites
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Cited by
CHAN, L. K. C., JEGADEESH, N., & LAKONISHOK, J. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05222.x · Cited by 1,279
Metadata
- Authors
- Ball, R., Kothari, S. P., & Shanken, J.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 1995-05
- Volume
- 38
- Issue
- 1
- Pages
- 79-107
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2111230345
- Cited by
- 368
- References
- 2
- FWCI
- 36.60
- Type
- journal article
- Language
- en
- Open access
- hybrid
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
