This study examines the winner-loser effect using stocks listed on the Tokyo Stock Exchange (TSE) from 1975 to 1997. We uncover significant return reversals dominating the Japanese markets, especially over shorter periods such as 1 month. No momentum effect is observed, however. The 1- month return reversal remains significant even after adjusting for firm characteristics or risk. While the 1- month return reversal is not related to industry classification, it is partially a result of higher future returns to loser stocks with low trading volume. Our results show that investor overreaction may be a possible explanation for the 1-month return reversal in Japan.
CITATION STYLE
Iihara, Y., Kato, H. K., & Tokunaga, T. (2015). The winner-loser effect in japanese stock returns. In Behavioral Interactions, Markets, and Economic Dynamics: Topics in Behavioral Economics (pp. 595–614). Springer Japan. https://doi.org/10.1007/978-4-431-55501-8_21
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