Returns to Buying Winners and Selling Losers

By Tobias Thejll. 2018

172 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c06764f58b8a2257a8e3aa2ce501c7d0680ad130

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Dehua Shen
2. Pengfei Wang
3. Andrew Urquhart
4. Paraskevi Katsiampa
5. Shaen Corbet
6. Emmanouil Platanakis
7. Tetsuya Takaishi
8. Ahmet Sensoy

Citations in the corpus

• A three-factor pricing model for cryptocurrencies (2020, methodology): “…the predicted momentum returns in the week-frequency by forming the J-K portfolios based on the prior J weeks’ performance with the breakpoints of the top decile (called losers) and bottom decile (called winners), which is ranked in ascending order (consistent with Jegadeesh and Titman 1993).”