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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

Narasimhan Jegadeesh; Sheridan Titman · The Journal of Finance · 1993

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Author / responsible party
Narasimhan Jegadeesh; Sheridan Titman
Publisher
The Journal of Finance
Year
1993
Language
English

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ABSTRACT 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.

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APA 7

Jegadeesh, N. & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x

MLA

Jegadeesh, Narasimhan, and Sheridan Titman. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." 1993. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x.

Chicago

Jegadeesh, Narasimhan and Sheridan Titman. 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.". https://doi.org/10.1111/j.1540-6261.1993.tb04702.x.

Harvard

Jegadeesh, N. and Titman, S. 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, The Journal of Finance, available at: https://doi.org/10.1111/j.1540-6261.1993.tb04702.x [Accessed 7 Aug. 2026].

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Title
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
Author / contributors
Narasimhan Jegadeesh; Sheridan Titman
Publisher
The Journal of Finance
Publication year
1993
Language
English

Subjects

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Profitability index; Stock (firearms); Earnings; Portfolio; Financial economics; Economics; Monetary economics; Business; Market efficiency; Finance; Engineering; Mechanical engineering
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