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
Date Written: May 8, 2017
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
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