Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
Abstract
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.
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- Authors
- JEGADEESH, N., & TITMAN, S.
- Affiliations
- University of California, Los Angeles (US)
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1993-03
- Volume
- 48
- Issue
- 1
- Pages
- 65-91
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2125520394
- Cited by
- 11,584
- References
- 1
- Citations by year
- 2026: 475 · 2025: 487 · 2024: 512 · 2023: 549 · 2022: 528 · 2021: 560 · 2020: 579 · 2019: 606 · 2018: 587 · 2017: 558 · 2016: 524 · 2015: 574 · 2014: 582 · 2013: 497 · 2012: 545
- FWCI
- 23.00
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- The Journal of Finance (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Business, Management and Accounting › Accounting › Financial Analysis and Corporate Governance
- Social Sciences › Business, Management and Accounting › Accounting › Corporate Finance and Governance
- Keywords
- winners and losers, stock returns, stock market efficiency, momentum strategies, abnormal returns, earnings announcements, systematic risk, return persistence
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