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1 edition of Winner-loser reversals in national stock market indices found in the catalog.

Winner-loser reversals in national stock market indices

Winner-loser reversals in national stock market indices

can they be explained?

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Published by International Monetary Fund in Washington, D.C .
Written in English


Edition Notes

Includes bibliographical references.

SeriesIMF working paper -- WP/97/182
ContributionsInternational Monetary Fund.
The Physical Object
Pagination22 p. ;
Number of Pages22
ID Numbers
Open LibraryOL17567832M

However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of "winner-loser" reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory.   [2] R. Balvers, Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies, Journal of Finance, pp. ‐, [3] A. Richards, Winner‐Loser Reversals in National Stock Market Indices: Can They be Explained?, IMF Working Paper,

International equity pricing, winner-loser reversals, contrarian strategies Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained? Journal of Finance, Vol. 52, No. 5.   predicting stock market reversals-using investor sentiment and time. has predicted the last 5 market reversals-weeks and months in advance.

BSE Weekly Losers - Check out the top losers on the BSE for the week ending , Sensex, Nifty, or any other index. Stocks that have lost the most value — US Stock Market. Top Losers is the list of biggest percentage decliners. The stocks can continue their downward movement which is why it’s important to identify the reasons why stocks have been falling.


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Winner-loser reversals in national stock market indices Download PDF EPUB FB2

This article examines possible explanations for “winner‐loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the by:   This paper examines possible explanations for "winner-loser reversals" in the national stock market indices of 16 countries.

There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the by: loser reversals in national market indices therefore remains unresolved.

A NUMBER OF STUDIES, beginning with DeBondt and Thaler (), have shown the presence of "winner-loser reversals" in the U.S. stock market: stocks that have been "losers" in a. This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries.

There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the : Anthony J.

Richards. Title: Winner-Loser Reversals in National Stock Market Indices: Can They be Exp lained. - WP/97/ Created Date: 1/17/ PM.

This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the world.

Abstract: This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 by: This article examines possible explanations for 'winner-loser reversals' in the national stock market indices of sixteen countries.

There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the world.

This article examines possible explanations for 'winner-loser reversals' in the national stock market indices of sixteen countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states Author: Anthony J Richards.

While there is evidence that small markets are subject to larger reversals than large markets, perhaps because of some form of market imperfection, the reversals are not just a small-market phenomenon. The apparent anomaly of winner-loser reversals in national market indices Author: Anthony J.

Richards. Title: Winner-Loser Reversals in National Stock Market Indices: Can They be Explained. Created Date: Z. In addition, winner–loser reversals seem to be related both to firm size and to the seasonal patterns of returns, especially January returns.

Richards () finds similar winner–loser return reversals in 16 national stock market indices after adjusting for by: Abstract This study examines the winner–loser effect using stocks listed on the Tokyo Stock Exchange (TSE) from to We uncover significant return reversals dominating the Japanese markets, especially over shorter periods such as 1 month.

No momentum effect is observed, by: However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of 'winner-loser' reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory.

This paper examines possible explanations for winnerloser reversals in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the world.

This paper examines if there is any overreaction effect present in the Indian stock market, using the monthly closing adjusted prices of stocks comprising S&P CNX Equity Index over the. As a result, many investors now believe the stock market is in a bullish run, even making new highs.

I have had to explain the disappointing reality: that this year’s rise is a rebound. Downside Risk and Long-Horizon Stock Return Reversals. between stock market indices observed returns and return's extreme distributional characteristics measured by Value at Risk and Expected.

This paper documents evidence of reversals in the long-term returns of international equity markets. We use recent short-term performance to better select contrarian securities that appear ready to reverse.

Our late-stage contrarian strategy consistently provides stronger evidence of long-term return reversal than does the traditional pure contrarian strategy when applied to developed and.

If you have any suggestions for future videos such as Day Trading, Investing, Stock Market, Real Estate, Car Sales, Robinhood, TD Ameritrade, Crypto &.

Journal of BANKING & FINANCE ELSEVIER Journal of Banking and Finance 18 () J Overreaction in the Brazilian stock market Newton C.A. da Costa, Jr. COPPEAD/Universidade Federal do Rio de Janeiro, Cidade Universitaria-Ilha do Fundao, Caixa PostalRio de Janeiro, RJ, Brazil Received Decemberfinal version received July Abstract The overreaction Cited by: See the list of the top losing stocks today, including share price change and percentage, trading volume, intraday highs and lows, and day [email protected]{HeadTitleI, title={Title: Improved Inference and Estimation in Regression With Overlapping Observations Year of publication: Forthcoming}, author={Mark Head and Anthony Neuberger}, year={