惯性策略.pdfVIP

惯性策略 Summary  Returns to buying winners and selling losers: implications for stock market efficiency  Jegadeesh and Titman (1993)  Contrarian investment, extrapolation and risk  Lakonishok, Sheleifer and Vishny (1994) 2 Motivation  Technical trading is pervasive among professional investors  A majority of the mutual funds tend to buy stocks that have increased in price over the previous quarter