Table A1 Winners, losers and momentum...

Table A1

Winners, losers and momentum return over 3–12 months horizons for above median size stocks and below median size stocks in sequence

		Above median size			Below median size
		K = 3	K = 6	K = 12	K = 3	K = 6	K = 12
J = 3	Winners	1.363 (5.987)	1.303 (5.722)	1.361 (5.977)	0.115 (0.309)	0.385 (1.063)	0.485 (1.430)
	Losers	1.275 (4.339)	1.178 (4.218)	1.158 (4.059)	1.121 (2.784)	0.678 (1.785)	0.568 (1.568)
	W−L	0.088 (0.344)	0.125 (0.610)	0.203 (1.121)	−1.030 (−2.448)	−0.295 (−0.825)	−0.083 (−0.347)
J = 6	Winners	1.214 (5.013)	1.327 (5.489)	1.305 (5.638)	0.031 (0.89)	0.381 (1.126)	0.747 (2.389)
	Losers	1.003 (3.295)	0.983 (3.223)	0.991 (3.118)	0.763 (1.760)	0.358 (0.821)	0.696 (1.746)
	W−L	0.211 (0.704)	0.344 (1.235)	0.314 (1.252)	−0.667 (−1.348)	−0.000 (−0.000)	0.050 (1.331)
J = 12	Winners	1.332 (5.581)	1.449 (6.265)	1.339 (5.747)	0.372 (1.005)	0.633 (1.679)	0.415 (1.264)
	Losers	0.969 (2.813)	1.201 (3.601)	1.285 (3.894)	0.289 (0.631)	0.663 (1.427)	0.540 (1.189)
	W−L	0.363 (1.044)	0.248 (0.783)	0.053 (0.180)	0.113 (0.223)	−0.087 (−0.171)	−0.125 (−0.272)

		Above median size			Below median size
		K = 3	K = 6	K = 12	K = 3	K = 6	K = 12
J = 3	Winners	1.363 (5.987)	1.303 (5.722)	1.361 (5.977)	0.115 (0.309)	0.385 (1.063)	0.485 (1.430)
	Losers	1.275 (4.339)	1.178 (4.218)	1.158 (4.059)	1.121 (2.784)	0.678 (1.785)	0.568 (1.568)
	W−L	0.088 (0.344)	0.125 (0.610)	0.203 (1.121)	−1.030 (−2.448)	−0.295 (−0.825)	−0.083 (−0.347)
J = 6	Winners	1.214 (5.013)	1.327 (5.489)	1.305 (5.638)	0.031 (0.89)	0.381 (1.126)	0.747 (2.389)
	Losers	1.003 (3.295)	0.983 (3.223)	0.991 (3.118)	0.763 (1.760)	0.358 (0.821)	0.696 (1.746)
	W−L	0.211 (0.704)	0.344 (1.235)	0.314 (1.252)	−0.667 (−1.348)	−0.000 (−0.000)	0.050 (1.331)
J = 12	Winners	1.332 (5.581)	1.449 (6.265)	1.339 (5.747)	0.372 (1.005)	0.633 (1.679)	0.415 (1.264)
	Losers	0.969 (2.813)	1.201 (3.601)	1.285 (3.894)	0.289 (0.631)	0.663 (1.427)	0.540 (1.189)
	W−L	0.363 (1.044)	0.248 (0.783)	0.053 (0.180)	0.113 (0.223)	−0.087 (−0.171)	−0.125 (−0.272)

Note(s): This table reports the winners, losers and momentum portfolios. The loser (L) refers to the portfolio with the lowest return in the selected period, while the winner (W) refers to the portfolio with the highest return. Momentum portfolio (W−L) is the difference between winners and losers. For each portfolio, the table shows the portfolio's monthly return constructed following Jagadeesh and Titman (1993) on the basis of their past J periods where J = 3, 6 and 12 and holding the position for the next K periods where K = 3, 6 and 12 using a period of 246 months starting from January 1995. This forms a total of nine portfolios at the intersections between J and K. For instance, J3-K3 is the strategy that is formed based on the returns of the previous three months and held for three after formation. Finally, the figures in parentheses are the t-statistics

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