The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk

David Allen and Robert Prince

Applied Economics Letters, 1995, vol. 2, issue 8, 280-283

Abstract: The extent of the winner-loser anomaly on the Austalian equities market for the period 1974-91 is examined. Documentation of the contrarian strategy is argued as being invalid unless compensation is made for changing risk premiums through time. The evidence shows a slight reversal for the winner portfolio based on raw returns, but risk adjusted winners continue to be winners and losers persist as losers although the behaviour is not statistically significant.

Date: 1995
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DOI: 10.1080/135048595357230

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