00Thaler_FM i-xxvi.qxd

9

Sell

0.77

0.65

0.71

0.82

0.58

0.58

0.66

0.78

(1.47)

(1.29)

(1.43)

(1.66)

(1.13)

(1.15)

(1.34)

(1.59)

9

Buy

1.86

1.86

1.76

1.64

1.93

1.88

1.76

1.64

(4.56)

(4.53)

(4.30)

(4.03)

(4.72)

(4.56)

(4.30)

(4.04)

9

Buy-Sell

1.09

1.21

1.05

0.82

1.35

1.30

1.09

0.85

(3.03)

(3.78)

(3.47)

(2.89)

(3.85)

(4.09)

(3.67)

(3.04)

12

Sell

0.60

0.65

0.75

0.87

0.48

0.58

0.70

0.85

(1.17)

(1.29)

(1.48)

(1.74)

(0.93)

(1.15)

(1.40)

(1.71)

12

Buy

1.92

1.79

1.68

1.55

1.96

1.79

1.67

1.54

(4.63)

(4.36)

(4.10)

(3.81)

(4.73)

(4.36)

(4.09)

(3.79)

12

Buy-Sell

1.31

1.14

0.93

0.68

1.49

1.21

0.96

0.69

(3.74)

(3.40)

(2.95)

(2.25)

(4.28)

(3.65)

(3.09)

(2.31)

Source

: Jegadeesh and Titman (1993).