The Role of Country Size in Winner–Loser Reversals
This table examines the role of country size in the 3–year test–period performance of portfolios of country indices, each consisting of 4 country indices, formed based on returns in 16 countries in the prior 3–year ranking period. Panel A shows the average share of total market capitalization that the markets in each portfolio represent at the end of the ranking period (or start of the test period). Panel B shows the average test–period returns where the time series for the test–period return on each portfolio is divided based on whether the share of total market capitalization at the start of the test period is above or below the median share for that portfolio over the entire sample. Panel C shows the simulated results of 3–year winner–loser trading rules where the 16 markets are divided into two groups based on average market capitalization over the full sample period. Within each group, winner–loser tests are conducted with four portfolios, each of two countries.
|Portfolio 2||Portfolio 3||Portfolio 4|
|Panel A: Average Share of Total Market Capitalization|
|Panel B: Test–Period Returns Divided by Share of Portfolio in Total Market Capitalization|
|Panel C: Winner–Loser Reversals in Large and Small Markets|
Ranking–Period Average Annual Return
|Test–Period Average Annual Return|