Losers Win, Winners Lose: Evidence against Market Efficiency
作者: Zachary Alexander Smith
刊名: International Journal of Financial Research, 2015, Vol.6 (2)
来源数据库: Sciedu Press
DOI: 10.5430/ijfr.v6n2p1
原始语种摘要: The goal of this research project was to evaluate whether there is statistically significant evidence of the Winner / Loser Phenomenon identified in DeBondt and Thaler (1985) using a unique data set and multiple examination windows. This study finds statistically significant evidence of short-run negative autocorrelation of returns. More importantly, if investors used a daily rebalance over this time period and invested simultaneously in the previous day’s loser ETF and the previous day’s winner ETF they would have obtained Cumulative Abnormal Returns of 113.50% and -134.13%, respectively. In addition, this study supports the experimental research findings documented in Bloomfield, R., Libby, R., and Nelson, M. (1998) and Bloomfield, R. and Hales, J. (2002) by providing evidence that (a)...
全文获取路径: Sciedu出版社  (合作)
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关键词翻译
关键词翻译
  • loser 刑事犯
  • returns 返回粉末
  • evidence 
  • portfolio 公事包
  • market 市场
  • ETF Estimated To Fly
  • statistically 统计地
  • previous 先前的
  • research 
  • short 短的