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Problems in measuring portfolio performance An application to contrarian investment strategies

  • Ball, Ray
  • Kothari, S. P.
  • Shanken, Jay

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File URL: http://www.sciencedirect.com/science/article/B6VBX-3YN9DC4-9/2/bfcc67389ba6c3d67aac938825b7a94e
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 38 (1995)
Issue (Month): 1 (May)
Pages: 79-107

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Handle: RePEc:eee:jfinec:v:38:y:1995:i:1:p:79-107
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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  1. Phillips, Susan M. & Smith, Clifford Jr., 1980. "Trading costs for listed options : The implications for market efficiency," Journal of Financial Economics, Elsevier, vol. 8(2), pages 179-201, June.
  2. Dybvig, Philip H & Ross, Stephen A, 1985. " The Analytics of Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 401-16, June.
  3. Lehmann, Bruce N, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 105(1), pages 1-28, February.
  4. Dybvig, Philip H & Ross, Stephen A, 1985. " Differential Information and Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 383-99, June.
  5. Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, vol. 12(3), pages 387-404, November.
  6. Marshall Blume & Robert Stambaugh, . "Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83)," Rodney L. White Center for Financial Research Working Papers 11-83, Wharton School Rodney L. White Center for Financial Research.
  7. Keim, Donald B., 1989. "Trading patterns, bid-ask spreads, and estimated security returns : The case of common stocks at calendar turning points," Journal of Financial Economics, Elsevier, vol. 25(1), pages 75-97, November.
  8. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-63, April.
  9. Zarowin, Paul, 1990. "Size, Seasonality, and Stock Market Overreaction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(01), pages 113-125, March.
  10. Ibbotson, Roger G., 1975. "Price performance of common stock new issues," Journal of Financial Economics, Elsevier, vol. 2(3), pages 235-272, September.
  11. Chopra, Navin & Lakonishok, Josef & Ritter, Jay R., 1992. "Measuring abnormal performance : Do stocks overreact?," Journal of Financial Economics, Elsevier, vol. 31(2), pages 235-268, April.
  12. Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
  13. Shanken, Jay, 1990. "Intertemporal asset pricing : An Empirical Investigation," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 99-120.
  14. Roll, Richard, 1983. "On computing mean returns and the small firm premium," Journal of Financial Economics, Elsevier, vol. 12(3), pages 371-386, November.
  15. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
  16. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
  17. Lakonishok, Josef & Smidt, Seymour, 1984. "Volume and turn-of-the-year behavior," Journal of Financial Economics, Elsevier, vol. 13(3), pages 435-455, September.
  18. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
  19. Stapleton, R C & Subrahmanyam, M G, 1983. " The Market Model and Capital Asset Pricing Theory: A Note," Journal of Finance, American Finance Association, vol. 38(5), pages 1637-42, December.
  20. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
  21. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  22. Ball, Ray & Kothari, S. P., 1989. "Nonstationary expected returns : Implications for tests of market efficiency and serial correlation in returns," Journal of Financial Economics, Elsevier, vol. 25(1), pages 51-74, November.
  23. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  24. Kothari, S. P. & Shanken, Jay, 1992. "Stock return variation and expected dividends : A time-series and cross-sectional analysis," Journal of Financial Economics, Elsevier, vol. 31(2), pages 177-210, April.
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