Winner-Loser Reversals in National Stock Market Indices: Can They be Explained?
检验了16个国家股票市场指数中赢家-输家反转现象的可能解释，发现输家国家并不比赢家国家风险更高，且反转不仅限于小市场，该异象仍未得到解决。
This article 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 due to some form of market imperfection, the reversals are not only a small-market phenomenon. The apparent anomaly of winner-loser reversals in national market indices therefore remains unresolved.