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Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?

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 Richards, Anthony J

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Abstract

This article examines possible explanations for 'winner-loser reversals' in the national stock market indices of sixteen 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 subject 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-loser reversals in national market indices therefore remains unresolved. Copyright 1997 by American Finance Association.

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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 52 (1997)
Issue (Month): 5 (December)
Pages: 2129-44
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Handle: RePEc:bla:jfinan:v:52:y:1997:i:5:p:2129-44

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  12. Dimitris Kenourgios & Nikolaos Pavlidis, 2005. "Individual Analysts’ Earnings Forecasts: Evidence for Overreaction in the UK Stock Market," Finance 0512011, EconWPA. [Downloadable!]
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