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

22 Pages Posted: 15 Feb 2006

See all articles by Anthony J. Richards

Anthony J. Richards

Reserve Bank of Australia - Economic Research

Multiple version iconThere are 3 versions of this paper

Date Written: December 1997

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: International equity pricing, winner-loser reversals, contrarian strategies

JEL Classification: G12, G15

Suggested Citation

Richards, Anthony J., Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained? (December 1997). IMF Working Paper, Vol. , pp. 1-22, 1997. Available at SSRN: https://ssrn.com/abstract=883937

Anthony J. Richards (Contact Author)

Reserve Bank of Australia - Economic Research ( email )

GPO Box 3947
Sydney, NSW 2001
Australia
61 2 9551 8801 (Phone)
61 2 9551 8833 (Fax)

Register to save articles to
your library

Register

Paper statistics

Downloads
670
Abstract Views
1,859
rank
37,407
PlumX Metrics