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Journal of Finance

Выпуск N1 за 1993 год

Опубликовано на портале: 03-12-2007
Narasimhan Jegadeesh, Sheridan Titman Journal of Finance. 1993.  Vol. 48. No. 1. P. 65-91. 
This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over 3- to 12-month holding periods. We find that the profitability of these strategies are not due to their systematic risk or to delayed stock price reactions to common factors. However, part of the abnormal returns generated in the first year after portfolio formation dissipates in the following two years. A similar pattern of returns around the earnings announcements of past winners and losers is also documented
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