Do trading rules based upon winners and losers work across markets? Evidence from the Pacific Basin and U.S. markets.
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).
Multinational Finance Society
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.
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