PROBLEMS IN MEASURING PORTFOLIO PERFORMANCE - AN APPLICATION TO CONTRARIAN INVESTMENT STRATEGIES

被引：142

作者：

BALL, R ^{[1
]}

KOTHARI, SP ^{[1
]}

SHANKEN, J ^{[1
]}

机构：

[1] UNIV ROCHESTER,WILLIAM E SIMON GRAD SCH BUSINESS ADM,ROCHESTER,NY 14627

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1995年 / 38卷 / 01期

关键词：

CONTRARIAN STRATEGY; LOW-PRICED STOCKS; PORTFOLIO PERFORMANCE; MARKET EFFICIENCY; ASSET PRICING; JEL CLASSIFICATION; G11; G12; G14;

D O I：

10.1016/0304-405X(94)00806-C

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We document problems in measuring raw and abnormal five-year contrarian portfolio returns. 'Loser' stocks are low-priced and exhibit skewed return distributions. Their 163% mean return is due largely to their lowest-price quartile position. A $1/8th price increase reduces the mean by 25%, highlighting their sensitivity to microstructure/liquidity effects. Long positions in low-priced loser stocks occur disproportionately after bear markets and thus induce expected-return effects. A contrarian portfolio formed at June-end earns negative abnormal returns, in contrast with the December-end portfolio. This conclusion is not limited to a particular version of the CAPM.

引用

页码：79 / 107

页数：29

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