Winner-Loser Reversals in National Stock Market Indices: Can they Be Explained?
IMF Working Papers, December 1, 1997
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- Winner-Loser Reversals in National Stock Market Indices: Can they Be Explained?
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Bibliographic details
- Authors: Anthony J. Richards
- Published: December 1, 1997
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451859232.001
Overview
- Author: Anthony J. Richards
- Date: December 1, 1997
- Core question: Examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries.
Main findings
- There is no evidence that loser countries are riskier than winner countries:
- No difference in terms of standard deviations.
- No difference in covariance with the world market or other risk factors.
- No difference in performance in adverse economic states of the world.
- Small markets show larger reversals than large markets, suggesting a possible role for some form of market imperfection.
- However, reversals are not confined to small markets; the winner–loser reversals in national market indices remain an unresolved anomaly.
Data, scope, and technical descriptors
- Coverage: national stock market indices of 16 countries.
- Subjects: Asset prices, Financial institutions, Financial markets, Financial regulation and supervision, Market capitalization, Market risk, Prices, Stock markets, Stocks.
- Keywords: Asset prices, contrarian portfolio, contrarian strategies, currency return ranking, International equity pricing, loser portfolio, Market capitalization, market return, Market risk, return difference, return relative, Stock markets, Stocks, winner portfolio, winner–loser reversals, world market return, WP.
Content in this bundle
- Winner-Loser Reversals in National Stock Market Indices: Can They be Explained? - WP/97/182