Longer-term reversals

In milf porn what is perhaps the seminal study of patterns in stock prices, DeBondt and Thaler (1985) document strong evidence of recent good performing stocks become poor performers over 3-year and 5-year holdings and vice versa. Using data from January 1933 to December 1980, the authors sort stocks based on their prior 36-month abnormal returns and form winner and loser portfolios that consists of the best performing decile and worst performing decile, respectively. The authors then examine the subsequent long-term performance of these 2 portfolios over the next 36 months (essentially a 36/36 reversal strategy). DeBondt and Thaler (1985) find that the loser portfolio cumulatively outperforms the winner portfolio by an average of 24.6% for the 36 months after portfolio formation. In fact, the difference in return performance between the loser portfolio and winner portfolio generally increases with the length of the holding period. More recently, though, Fama and French (1996) document that this outperformance goes away after controlling for risk.

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