The Intricate Relation between Return, Market Value and Past Performance of Common Stocks in the United States 1926-2006

Posted: 19 Sep 2011

See all articles by Glenn N. Pettengill

Glenn N. Pettengill

Grand Valley State University

Werner F.M. DeBondt

DePaul University - Driehaus Center for Behavioral Finance

Jungshik Hur

Louisiana Tech University

Vivek Singh

University of Michigan at Dearborn - College of Business

Date Written: September 19, 2011

Abstract

We study the interrelation between the size and winner-loser effects in U.S. stock returns. We use data for the period 1926-2006. The two effects are robust --- also in data gathered after 1980. Small-firm loser portfolios perform particularly well in January but poorly during the 4th quarter of the year. Large-firm winner portfolios do the exact opposite. Surprisingly, small-firm loser portfolios earn high (time-series average) mean returns but low (time-series average) median returns. This observation may be of great consequence for the risk and return characteristics of small-cap and value-based investment strategies.

Keywords: Empirical asset pricing, risk premia, anomalies, size, seasonality, overreaction, behavioral finance

JEL Classification: G12

Suggested Citation

Pettengill, Glenn N. and DeBondt, Werner F.M. and Hur, Jungshik and Singh, Vivek, The Intricate Relation between Return, Market Value and Past Performance of Common Stocks in the United States 1926-2006 (September 19, 2011). Midwest Finance Association 2012 Annual Meetings Paper. Available at SSRN: https://ssrn.com/abstract=1930216 or http://dx.doi.org/10.2139/ssrn.1930216

Glenn N. Pettengill (Contact Author)

Grand Valley State University ( email )

1 Campus Dr.
Allendale, MI 49401-9403
United States

Werner F.M. DeBondt

DePaul University - Driehaus Center for Behavioral Finance ( email )

1 East Jackson Boulevard
Suite 6123/6124
Chicago, IL 60604-2287
United States
312-362-8394 (Phone)

Jungshik Hur

Louisiana Tech University ( email )

P.O. Box 3178
Ruston, LA 71272
United States
318-257-3558 (Phone)
318-257-4253 (Fax)

Vivek Singh

University of Michigan at Dearborn - College of Business ( email )

19000 Hubbard Drive
FCS
Dearborn, MI 48126
United States
313-583-6533 (Phone)
313-271-9837 (Fax)

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