Winner-Loser Reversals in National Stock Market Indices: Can they Be Explained?

Anthony Richards

No 1997/182, IMF Working Papers from International Monetary Fund

Abstract: 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. 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 therefore remains unresolved.

Keywords: WP; loser portfolio; contrarian portfolio; market return; winner portfolio; return difference; International equity pricing; winner–loser reversals; contrarian strategies; world market return; return relative; currency return ranking; Stock markets; Market capitalization; Stocks; Asset prices; Market risk (search for similar items in EconPapers)
Pages: 22
Date: 1997-12-01
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Citations: View citations in EconPapers (124)

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