The Relation between Market Value, Past Performance and Extreme Returns of Common Stocks in the United States, 1926-2017

33 Pages Posted: 10 May 2017 Last revised: 29 Jun 2018

See all articles by Werner F.M. DeBondt

Werner F.M. DeBondt

DePaul University - Driehaus Center for Behavioral Finance

Jungshik Hur

Louisiana Tech University

Glenn N. Pettengill

Grand Valley State University

Vivek Singh

University of Michigan at Dearborn - College of Business

Date Written: May 8, 2017

Abstract

We study the interrelation between the size and winner-loser effects in U.S. stock re-turns, including their response to extreme returns. We find that size effect and winner-loser effect are present in data up to 2017. These are related but separate effects. How-ever these effects are due to presence of a small number of extreme return observations in the sample. The size effect and winner-loser effects are non-existent after ex-treme returns are removed from the sample. Our results question the existence of size and winner-loser anomalies in the market efficiency literature.

Keywords: Empirical Asset Pricing, Anomalies, Size, Overreaction, Risk, Behavioral Finance

JEL Classification: G12

Suggested Citation

DeBondt, Werner F.M. and Hur, Jungshik and Pettengill, Glenn N. and Singh, Vivek, The Relation between Market Value, Past Performance and Extreme Returns of Common Stocks in the United States, 1926-2017 (May 8, 2017). Available at SSRN: https://ssrn.com/abstract=2965124 or http://dx.doi.org/10.2139/ssrn.2965124

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)

Glenn N. Pettengill

Grand Valley State University ( email )

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

Vivek Singh (Contact Author)

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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