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Jegadeesh, N. and Titman, S. (1993) Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance, 48, 65.
https://doi.org/10.1111/j.1540-6261.1993.tb04702.x

has been cited by the following article:

  • TITLE: Investing on the CAPM Pricing Error

    AUTHORS: José Carlos de Souza Santos, Elias Cavalcante Filho

    KEYWORDS: CAPM, Portfolio Optimization, EWMA, Sharpe Ratio, Certainty Equivalence

    JOURNAL NAME: Technology and Investment, Vol.8 No.1, February 22, 2017

    ABSTRACT: We tested an investment strategy based on the pricing error of the CAPM model. Starting with the Markowitz (1952) [1] methodology, we replaced the standard expected returns vector with the expected errors vector from the CAPM model, assuming that such errors are nonzero and persist over time. When evaluated over the entire examined period, all of the resulting portfolios outperformed the market portfolio. Except for some shorter periods, our hypothesis was fully confirmed. That is, the performance of our alpha portfolios was significantly better than the market portfolio. In other words, the pricing error of the CAPM model seems to be nonzero and to have an inertial component.