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The winner-loser effect in the Tunisian stock market: A multidimensional risk-based explanation

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  • Ramzi Boussaidi

Abstract

The purpose of this paper is to examine the winner-loser effect in the Tunisian stock market for the period 1974–2013. We found evidence of market-adjusted return reversal of the winner and the loser portfolios for different formation periods. We re-examined this anomaly in a multidimensional risk change framework using the three-factor model of Fama and French. We found that the abnormal returns of the extreme portfolios and the contrarian profits disappear when controlling for risk change from the formation to the holding periods.

Suggested Citation

  • Ramzi Boussaidi, 2017. "The winner-loser effect in the Tunisian stock market: A multidimensional risk-based explanation," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(3), pages 178-189, September.
    • Handle: RePEc:bor:bistre:v:17:y:2017:i:3:p:178-189
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    Cited by:

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    More about this item

    Keywords

    Winner-loser effect; Contrarian profits; Three-factor model;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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