Size, Seasonality, and Stock Market Overreaction
发现前期表现最差的股票（输家）在后期跑赢前期表现最好的股票（赢家），并非由于投资者过度反应，而是因为输家通常是规模较小的公司。控制规模后，输赢家收益差异消失。
Recent research finds that the prior period's worst stock return performers (losers) outperform the prior period's best return performers (winners) in the subsequent period. This potential violation of the efficient markets hypothesis is labeled the “overreaction” phenomenon. This paper shows that the tendency for losers to outperform winners is not due to investor overreaction, but to the tendency for losers to be smaller-sized firms than winners. When losers are compared to winners of equal size, there is little evidence of any return discrepancy, and in periods when winners are smaller than losers, winners outperform losers.