Returns to buying winners and selling losers¶
JEGADEESH, N., & TITMAN, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Efficient Market Hypothesis (EMH)
- Event study of earnings announcements and the post-earnings-announcement drift (PEAD) anomaly: Drawing on the methodology Jegadeesh and Titman (1993) deployed in their landmark momentum study, researchers compute abnormal returns as actual return minus risk-model predicted return (e.g., Fama-French 3-factor expected return) over an event window of [−1, 0, +1] trading days centered on the quarterly earnings release.
This sourceDocuments 3–12 month momentum profits surviving risk adjustment.
Supported in partVerified against the publisher's abstract
The abstract backs 3-12 month momentum profits that survive risk adjustment and a similar return pattern around winners' and losers' earnings announcements, but says nothing of a Fama-French 3-factor expected return or a [−1, 0, +1] window.
“A similar pattern of returns around the earnings announcements of past winners and losers is also documented.”
- Event study of earnings announcements and the post-earnings-announcement drift (PEAD) anomaly: Drawing on the methodology Jegadeesh and Titman (1993) deployed in their landmark momentum study, researchers compute abnormal returns as actual return minus risk-model predicted return (e.g., Fama-French 3-factor expected return) over an event window of [−1, 0, +1] trading days centered on the quarterly earnings release.
Verification¶
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