Problems in measuring portfolio performance An application to contrarian investment strategies
发现衡量五年期逆向投资组合的原始和异常收益存在困难，指出输家股票的低价和偏态分布导致收益对微观结构和流动性效应敏感，且不同形成时间（六月末与十二月末）的逆向组合异常收益方向相反。
We document problems in measuring raw and abnormal five-year contrarian portfolio returns. 'Loser' stocks are low-priced and exhibit skewed return distributions. Their 163% mean return is due largely to their lowest-price quartile position. A $18-th price increase reduces the mean by 25%, highlighting their sensitivity to micro-structure/liquidity effects. Long positions in low-priced loser stocks occur disproportionately after bear markets and thus induce expected-return effects. A contrarian portfolio formed at June-end earns negative abnormal returns, in contrast with the December-end portfolio. This conclusion is not limited to a particular version of the CAPM.