JEGADEESH AND TITMAN 教学课件.ppt

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency Author: Narasimhan Jegadeesh (UCLA) Sheridan Titman (HKUST and UCLA) Presenter: Chen Li A technical emphasis along with logic path Can we obtain abnormal return by constructing strategies? If so, then answer the following two questions: How can we construct the strategies? Contrarian strategy vs. Relative strength strategy What is the driving force of the abnormal return? (Semi-) Systematic factor vs. Firm-specific factor Are the conclusions robust? Strategy design J-month/K-month strategy 4-month/3-month strategy Rebalancing Returns Buy-and-Hold Returns Return-generating models Model 1: Deposition of the return Examine the first term effect (Table Ⅱ) Examine the second term effect Examine the third term effect To test Lead-lag effect Return-generating model 2: To examine the difference across size-beta sub-samples Whether the profitability of the strategy is confined to any particular subsample of stocks? The abnormal returns are indifferent. The relative strength strategy profits are not primarily due to the cross-sectional differences in the systematic risk of the stocks. Even after controlling for transaction costs, the strategies are still profitable. To check the consistent results from subperiods The strategy fails in January. The strategy is profitable for five-year sub-periods. To detect selection bias (event time analysis) Significant positive returns in months beyond the holding periodwould indicate that the zero-cost portfolio systematically selects stocks that have higher than average unconditional returns either because of their risk or for other reasons such as differential tax exposure. Table Ⅶ To expand to pre-1965 1927-1940 1941-1964 Table Ⅷ To study the returns around earnings announcement If the underreaction hypothesis holds, the past winners, who had fav