THE WINNER LOSER HYPOTHESIS - SOME PRELIMINARY AUSTRALIAN EVIDENCE ONTHE IMPACT OF CHANGING RISK

Authors
ALLEN DE PRINCE R
Citation
De. Allen et R. Prince, THE WINNER LOSER HYPOTHESIS - SOME PRELIMINARY AUSTRALIAN EVIDENCE ONTHE IMPACT OF CHANGING RISK, Applied economics letters, 2(8), 1995, pp. 280-283
Citations number
15
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
2
Issue
8
Year of publication
1995
Pages
280 - 283
Database
ISI
SICI code
1350-4851(1995)2:8<280:TWLH-S>2.0.ZU;2-K
Abstract
The extent of the winner-loser anomaly on the Austalian equities marke t for the period 1974-91 is examined. Documentation of the contrarian strategy is argued as being invalid unless compensation is made for ch anging risk premiums through time. The evidence shows a slight reversa l for the winner portfolio based on raw returns, but risk adjusted win ners continue to be winners and losers persist as losers although the behaviour is not statistically significant.