Shi, Huai-Long; Jiang, Zhi-Qiang; Zhou, Wei-Xing - arXiv.org - 2015
This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term...