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| Tekijä: | Richards, A. |
| Otsikko: | Winner-Loser Reversals in National Stock Market Indices: Can They be Explained? |
| Lehti: | Journal of Finance
1997 : DEC, Vol. 52:5, p. 2129-2144 |
| Asiasana: | STOCK MARKETS RETURN ON INVESTMENT STOCK OWNERSHIP |
| Kieli: | eng |
| Tiivistelmä: | This article examines possible explanations for "winner-loser reversals" in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the world. While there is evidence that small markets are subjected to larger reversals than large markets, perhaps due to some form of market imperfection, the reversals are not only a small-market phenomenon. The apparent anomaly of winner-lose reversals in national market indices therefore remains unresolved. |
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