Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
发现买入过去表现好的股票并卖出表现差的股票在3至12个月持有期内能产生显著正回报，且这种盈利并非源于系统性风险或对共同因素的延迟反应，但部分异常回报在随后两年消失。
This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over 3-to 12-month holding periods. We find that the profitability of these strategies are not due to their systematic risk or to delayed stock price reactions to common factors. However, part of the abnormal returns generated in the first year after portfolio formation dissipates in the following two years. A similar pattern of returns around the earnings announcements of past winners and losers is also documented.