IMF Working Papers

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

By Anthony J. Richards

December 1, 1997

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Anthony J. Richards Winner-Loser Reversals in National Stock Market Indices: Can they Be Explained?, (USA: International Monetary Fund, 1997) accessed September 19, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Asset prices, Financial institutions, Financial markets, Financial regulation and supervision, Market capitalization, Market risk, Prices, Stock markets, Stocks

Keywords: Asset prices, Contrarian portfolio, Contrarian strategies, Currency return ranking, International equity pricing, Loser portfolio, Market capitalization, Market return, Market risk, Return difference, Return relative, Stock markets, Stocks, Winner portfolio, Winner–loser reversals, World market return, WP

Publication Details

  • Pages:

    22

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 1997/182

  • Stock No:

    WPIEA1821997

  • ISBN:

    9781451859232

  • ISSN:

    1018-5941