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- W2613490672 abstract "We study the interrelation between the size and winner-loser effects in U.S. stock re-turns, including their response to extreme returns. We find that size effect and winner-loser effect are present in data up to 2017. These are related but separate effects. How-ever these effects are due to presence of a small number of extreme return observations in the sample. The size effect and winner-loser effects are non-existent after ex-treme returns are removed from the sample. Our results question the existence of size and winner-loser anomalies in the market efficiency literature." @default.
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- W2613490672 date "2017-01-01" @default.
- W2613490672 modified "2023-09-23" @default.
- W2613490672 title "The Relation between Market Value, Past Performance and Extreme Returns of Common Stocks in the United States, 1926-2012" @default.
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- W2613490672 doi "https://doi.org/10.2139/ssrn.2965124" @default.
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