Asset Pricing When Traders Sell Extreme Winners and Losers
“I find that stocks with both large unrealized gains and large unrealized losses, aggregated across investors, outperform others in the following month (trading strategy monthly alpha = 0.5-1%, Sharpe ratio = 1.5).”
AssetEquities
StrategyMomentumshort-term reversal
FrequencyMonthly
ClaimSharpe ratioalpha
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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