search query: @author Brailsford, T. / total: 4
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| Author: | Brailsford, T. |
| Title: | A test for winner-loser anomaly in the Australian equity market: 1958-87. |
| Journal: | Journal of Business Finance and Accounting
1992 : JAN, VOL. 19:2, p. 225-241 |
| Index terms: | AUSTRALIA RETURN ON INVESTMENT SHARES STOCK MARKETS |
| Language: | eng |
| Abstract: | Evidence of the winner-loser anomaly implies that investors can earn arbitrage profits by purchasing shares which have earned extreme negative returns, and selling short shares which have earned extreme positive returns. This study tests for the winner-loser anomaly in the Australian equity market, using monthly data over the period 1958 to 1987. It is found that extreme winners undergo price reversals, but extreme losers continue to earn negative abnormal returns. The difference in abnormal return performance between the loser and winner portfolios is not statistically significant, and hence it appears that the winner-loser anomaly is not present in the Australian market. |
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