Advanced search
Publication Cover
Applied Economics Letters Volume 21, 2014 - Issue 15
Submit an article Journal homepage
422
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Is the ‘buying winners and selling losers’ trading strategy profitable in the New Economy?

Aditya R. KhanalDepartment of Agricultural Economics and Agribusiness, LSU AgCenter, Louisiana State University, 32 Martin D. Woodin Hall, Baton Rouge, LA70803, USA
&
Ashok K. MishraDepartment of Agricultural Economics and Agribusiness, LSU AgCenter, Louisiana State University, 32 Martin D. Woodin Hall, Baton Rouge, LA70803, USACorrespondence[email protected]
Pages 1090-1093 | Published online: 24 Apr 2014

References

  • Ball, R. and Kothari, S. P. (1989) Nonstationary expected returns: implications for tests of market efficiency and serial correlation in returns, Journal of Financial Economics, 25, 51–74. doi:10.1016/0304-405X(89)90096-2
  • Carhart, M. M. (1997) On persistence in mutual fund performance, The Journal of Finance, 52, 57–82. doi:10.1111/j.1540-6261.1997.tb03808.x
  • Chopra, N., Lakonishok, J. and Ritter, J. R. (1992) Measuring abnormal performance: do stocks overreact?, Journal of Financial Economics, 31, 235–68. doi:10.1016/0304-405X(92)90005-I
  • Copeland, T. E. and Mayers, D. (1982) The value line enigma (1965–1978): a case study of performance evaluation issues, Journal of Financial Economics, 10, 289–321. doi:10.1016/0304-405X(82)90004-6
  • De Bondt, W. F. M. and Thaler, R. (1985) Does the stock market overreact?, The Journal of Finance, 40, 793–805. doi:10.1111/j.1540-6261.1985.tb05004.x
  • De Bondt, W. F. M. and Thaler, R. H. (1987) Further evidence on investor overreaction and stock market seasonality, The Journal of Finance, 42, 557–81. doi:10.1111/j.1540-6261.1987.tb04569.x
  • Fama, E. F. (1991) Efficient capital markets: II, The Journal of Finance, 46, 1575–617. doi:10.1111/j.1540-6261.1991.tb04636.x
  • Grinblatt, M. and Titman, S. (1993) Performance measurement without benchmarks: an examination of mutual fund returns, The Journal of Business, 47–68. doi:10.1086/296593
  • Jegadeesh, N. (1990) Evidence of predictable behavior of security returns, The Journal of Finance, 45, 881–98. doi:10.1111/j.1540-6261.1990.tb05110.x
  • Jegadeesh, N. and Titman, S. (1993) Returns to buying winners and selling losers: implications for stock market efficiency, The Journal of Finance, 48, 65–91. doi:10.1111/j.1540-6261.1993.tb04702.x
  • Jegadeesh, N. and Titman, S. (1995) Short-horizon return reversals and the bid-ask spread, Journal of Financial Intermediation, 4, 116–32. doi:10.1006/jfin.1995.1006
  • Lehmann, B. N. (1990) Fads, martingales, and market efficiency, The Quarterly Journal of Economics, 105, 1–28. doi:10.2307/2937816
  • Stickel, S. E. (1985) The effect of value line investment survey rank changes on common stock prices, Journal of Financial Economics, 14, 121–43. doi:10.1016/0304-405X(85)90046-7
  • Zarowin, P. (1990) Size, seasonality, and stock market overreaction, The Journal of Financial and Quantitative Analysis, 25, 113–25. doi:10.2307/2330891

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.