Reversal of 3‐day losers and continuation of 3‐day winners on the NASDAQ |
| |
Authors: | Jose Gutierrez |
| |
Institution: | Sam Houston State University, Department of General Business and Finance, Box 2056, Huntsville, TX 77341, United States |
| |
Abstract: | Using only the 200 large-cap securities that make up the NYSE 100 and NASDAQ 100, this study investigates 130 randomly selected formation periods from January 2000 through December 2012. During these formation periods, the three worst and three best performing stocks (based on excess return) are flagged. Once flagged, the subsequent 10-day holding period excess returns are calculated. Results indicate that NYSE securities demonstrate significant return reversal, but not return momentum. Conversely, the worst performing NASDAQ securities demonstrate return reversal, whereas the best performing NASDAQ securities demonstrate return momentum. Results are robust to the number of best and worst stocks that are flagged. Results are also robust to other combinations of formation and holding period lengths. |
| |
Keywords: | Market anomaly Momentum Return reversal Return persistence Trading strategy G11 G12 G14 G17 |
本文献已被 ScienceDirect 等数据库收录! |
|