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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency




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    • Jegadeesh is from the Anderson Graduate School of Management, UCLA. Titman is from Hong Kong University of Science and Technology and the Anderson Graduate School of Management, UCLA. We would like to thank Kent Daniel, Ravi Jagannathan, Richard Roll, Hans Stoll, René Stulz, and two referees. We also thank participants of the Johnson Symposium held at the University of Wisconsin at Madison and seminar participants at Harvard, SMU, UBC, UCLA, Penn State, University of Michigan, University of Minnesota, and York University for helpful comments, and Juan Siu and Kwan Ho Kim for excellent research assistance.


This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over 3-to 12-month holding periods. We find that the profitability of these strategies are not due to their systematic risk or to delayed stock price reactions to common factors. However, part of the abnormal returns generated in the first year after portfolio formation dissipates in the following two years. A similar pattern of returns around the earnings announcements of past winners and losers is also documented.