IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v2y1995i8p280-283.html
   My bibliography  Save this article

The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk

Author

Listed:
  • D. E. Allen
  • Robert Prince

Abstract

The extent of the winner-loser anomaly on the Austalian equities market for the period 1974-91 is examined. Documentation of the contrarian strategy is argued as being invalid unless compensation is made for changing risk premiums through time. The evidence shows a slight reversal for the winner portfolio based on raw returns, but risk adjusted winners continue to be winners and losers persist as losers although the behaviour is not statistically significant.

Suggested Citation

  • D. E. Allen & Robert Prince, 1995. "The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk," Applied Economics Letters, Taylor & Francis Journals, vol. 2(8), pages 280-283.
  • Handle: RePEc:taf:apeclt:v:2:y:1995:i:8:p:280-283
    DOI: 10.1080/135048595357230
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048595357230&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Clare, A. & Thomas, S., 1992. "Winners and losers: UK evidence for the overreaction hypothesis," Discussion Paper Series In Economics And Econometrics 9229, Economics Division, School of Social Sciences, University of Southampton.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rezvanian, Rasoul & Turk, Rima A. & Mehdian, Seyed M., 2011. "Investors' reactions to sharp price changes: Evidence from equity markets of the People's Republic of China," Global Finance Journal, Elsevier, vol. 22(1), pages 1-18.
    2. Gaunt, Clive, 2000. "Overreaction in the Australian equity market: 1974-1997," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 375-398, July.
    3. Rezvanian Rasoul & Klaczynska Ewelina & Krysiak Zbigniew, 2015. "Equity Market Reaction to Sharp Price Changes: Evidence from Poland," Scientific Annals of Economics and Business, De Gruyter Open, vol. 62(2), pages 169-190, July.
    4. Gunaratne, P. S. M. & Yonesawa, Y., 1997. "Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction," Japan and the World Economy, Elsevier, vol. 9(3), pages 363-384, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:2:y:1995:i:8:p:280-283. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.