Stock return predictability and the winner-loser reversals : analysis of the arguments and the Singapore evidence.
This dissertation examines the winner-loser return reversals in the Stock Exchange of Singapore. Three major arguments that have been proposed to explain this phenomenon are analyzed. It's shown that there are significant return reversals in SES after considering several possible methodologi...
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2011
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| Online Access: | http://hdl.handle.net/10356/42614 |
| _version_ | 1826124710589497344 |
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| author | Chen, Zhong. |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Chen, Zhong. |
| author_sort | Chen, Zhong. |
| collection | NTU |
| description | This dissertation examines the winner-loser return reversals in the Stock Exchange of
Singapore. Three major arguments that have been proposed to explain this phenomenon
are analyzed. It's shown that there are significant return reversals in SES after
considering several possible methodological flaws and biases. The reversals then are not
simply the outcome of an elaborate data snooping process. There is no evidence that
loser portfolios are fundamentally riskier than winner portfolios either in terms of timevarying risks or performance in adverse economic states. Investors do not make
systematic expectational errors for both winner and loser portfolios if E/P or C/P are
used to proxy investor's expectation about the stock's future growth rates. Evidence is
also provided to reject the size effect and the January effect as explanations for the
reversals. The apparent anomaly of winner-loser reversals in SES therefore can not be
explained by existing arguments such as methodological flaws and biases, time-varying
risks and investors' extrapolation. The results do not rule out the possibility of the existence of other expectational errors. A possibility consistent with the data is
mispricing due to a variety of unidentified causes which is most likely to surface among
stocks with extreme price changes. |
| first_indexed | 2024-10-01T06:24:48Z |
| format | Thesis |
| id | ntu-10356/42614 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:24:48Z |
| publishDate | 2011 |
| record_format | dspace |
| spelling | ntu-10356/426142024-01-12T10:23:25Z Stock return predictability and the winner-loser reversals : analysis of the arguments and the Singapore evidence. Chen, Zhong. Nanyang Business School Andrew Lee DRNTU::Business::Finance::Equity This dissertation examines the winner-loser return reversals in the Stock Exchange of Singapore. Three major arguments that have been proposed to explain this phenomenon are analyzed. It's shown that there are significant return reversals in SES after considering several possible methodological flaws and biases. The reversals then are not simply the outcome of an elaborate data snooping process. There is no evidence that loser portfolios are fundamentally riskier than winner portfolios either in terms of timevarying risks or performance in adverse economic states. Investors do not make systematic expectational errors for both winner and loser portfolios if E/P or C/P are used to proxy investor's expectation about the stock's future growth rates. Evidence is also provided to reject the size effect and the January effect as explanations for the reversals. The apparent anomaly of winner-loser reversals in SES therefore can not be explained by existing arguments such as methodological flaws and biases, time-varying risks and investors' extrapolation. The results do not rule out the possibility of the existence of other expectational errors. A possibility consistent with the data is mispricing due to a variety of unidentified causes which is most likely to surface among stocks with extreme price changes. Master of Business 2011-01-05T05:27:01Z 2011-01-05T05:27:01Z 1998 1998 Thesis http://hdl.handle.net/10356/42614 en 135 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Equity Chen, Zhong. Stock return predictability and the winner-loser reversals : analysis of the arguments and the Singapore evidence. |
| title | Stock return predictability and the winner-loser reversals : analysis of the arguments and the Singapore evidence. |
| title_full | Stock return predictability and the winner-loser reversals : analysis of the arguments and the Singapore evidence. |
| title_fullStr | Stock return predictability and the winner-loser reversals : analysis of the arguments and the Singapore evidence. |
| title_full_unstemmed | Stock return predictability and the winner-loser reversals : analysis of the arguments and the Singapore evidence. |
| title_short | Stock return predictability and the winner-loser reversals : analysis of the arguments and the Singapore evidence. |
| title_sort | stock return predictability and the winner loser reversals analysis of the arguments and the singapore evidence |
| topic | DRNTU::Business::Finance::Equity |
| url | http://hdl.handle.net/10356/42614 |
| work_keys_str_mv | AT chenzhong stockreturnpredictabilityandthewinnerloserreversalsanalysisoftheargumentsandthesingaporeevidence |