Tehran Institute for Advanced Studies (TeIAS)

/ Student Seminar #9: Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Student Seminar #9: Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

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Date Time Presenter Location
Sunday, August 11, 2019
(20 Mordad 1398)
12:30 – 13:30 Mohammadreza Salehi Khatam University (@ 17 Daneshvar), 7th Floor, Seminar Room

“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.”

Required Reading(s) Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency