Abstract
We study the interrelation between the size and winner-loser effects in U.S. stock returns. We use data for the period 1926-2006. The two effects are robust --- also in data gathered after 1980. Small-firm loser portfolios perform particularly well in January but poorly during the 4th quarter of the year. Large-firm winner portfolios do the exact opposite. Surprisingly, small-firm loser portfolios earn high (time-series average) mean returns but low (time-series average) median returns. This observation may be of great consequence for the risk and return characteristics of small-cap and value-based investment strategies.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
