The winner-loser effect in the Tunisian stock market: A multidimensional risk-based explanation
The purpose of this paper is to examine the winner-loser effect in the Tunisian stock market for the period 1974–2013. We found evidence of market-adjusted return reversal of the winner and the loser portfolios for different formation periods. We re-examined this anomaly in a multidimensional risk c...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2017-09-01
|
| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845016301302 |