Profiting from past winners and losers

Authors: Balsara, Nauzer1; Zheng, Lin

Source: Journal of Asset Management, Volume 6, Number 5, 1 January 2006 , pp. 329-344(16)

Publisher: Palgrave Macmillan

Key:
Free Content - Free Content
New Content - New Content
Subscribed Content - Subscribed Content
Free Trial Content - Free Trial Content

Abstract:

This paper posits that information diffusion is a function of its dissemination and assimilation. Whereas dissemination is proportional to observable factors such as volume and price volatility, assimilation is dependent on unobservable factors such as the usefulness and reliability of information. It is found that buying low-volume (or low-volatility) past losers and shortselling low-volume (or low-volatility) past winners generates a positive net return across the entire sample period and especially during bear markets. In addition, buying high-volatility past winners and shortselling high-volatility past losers generates a positive net return, especially during bear markets.Journal of Asset Management (2006) 6, 329-344; doi:10.1057/palgrave.jam.2240186

Document Type: Research article

DOI: 10.1057/palgrave.jam.2240186

Affiliations: 1: 1College of Business and Management, Northeastern Illinois University, 5500 North St Louis Avenue, Chicago, IL 60625-4699, USA, Tel: +1 (773) 442 6146, Fax: +1 (773) 442 4900, Email: n-balsara@nelu.edu

The full text electronic article is available for purchase. You will be able to download the full text electronic article after payment.

$43.00 plus tax      Refund Policy

 

OR

Back to top

Key:
Free Content - Free Content
New Content - New Content
Subscribed Content - Subscribed Content
Free Trial Content - Free Trial Content
Share this item with others: These icons link to social bookmarking sites where readers can share and discover new web pages.
Page Help Click here for Page Help
Shopping cart
Tools
Sign in






Need to register?
Sign up here
Text size: A | A | A | A