Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency - Jegadeesh Titman (1993)
Returns of Buying Winners and Selling Losers Jegadeesh and Titman 1993.pdf
by Jegadeesh, Narasimhan Titman, Sheridan
Summary: This paper falsified the Efficient Market Hypothesis in 1993.
ABSTRACT:
This paper documents that strategies that buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over three- to twelve-month holding periods. The authors 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.
