USF St. Petersburg campus Faculty Publications
Do trading rules based upon winners and losers work across markets? Evidence from the Pacific Basin and U.S. markets.
Document Type
Article
Publication Date
1999
ISSN
1096-1879
Abstract
Numerous studies have examined trading strategies that seek to exploit price reversal behaviors in the U.S. stock market. The evidence to date suggests that taking a long position in U.S. stocks with negative returns (losers) and a short position in stocks that have positive returns (winners) may yield large profits. This article expands this line of research by applying these trading rules to Pacific Basin markets. Striking differences in the pattern of portfolio returns between most Pacific Basin markets and those in the U.S. market are found. This article demonstrates that profitable trading strategies developed in the U.S. may not be successfully transferred to other national markets (JEL C 1, F3, and Gl).
Language
en_US
Publisher
Multinational Finance Society
Recommended Citation
Fung, H.-G., Leung, W.K. & Patterson, G.A. (1999). Do trading rules based upon winners and losers work across markets? Evidence from the Pacific Basin and U.S. markets. Multinational Financial Journal, 3(1), 41-70.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
Citation only. Full-text article is available through licensed access provided by the publisher. Published in Multinational Financial Journal, 3(1), 41-70. Members of the USF System may access the full-text of the article through the authenticated link provided.