Is the ‘buying winners and selling losers’ trading strategy profitable in the new economy?

Aditya R. Khanal, Ashok K. Mishra

Research output: Contribution to journalArticle

1 Scopus citations

Abstract

Using recent US financial market data, this study tested whether relative strength trading strategy was profitable in two different sample periods (1990 to 2012 and 1965 to 2012). In contrast to the previous findings, our study finds no clear evidence for profitable zero-cost buy and hold strategy for 3-to 12-month periods for the period 1990 to 2012. However, we find few profitable zero-cost strategy for the period 1965 to 2012, but the returns are much smaller than previously reported. These findings may imply gain in market efficiency in the US financial markets in recent period.

Original languageEnglish (US)
Pages (from-to)1090-1093
Number of pages4
JournalApplied Economics Letters
Volume21
Issue number15
DOIs
StatePublished - Jan 1 2014
Externally publishedYes

Keywords

  • Financial returns
  • Market efficiency
  • Relative strength strategy
  • Stock trading

ASJC Scopus subject areas

  • Economics and Econometrics

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