If returns on some stocks systematically lead or lag those of others, a portfolio strat-egy that sells "winners" and buys "losers" can produce positive expected returns, even if no stock's returns are negatively autocorrelated as virtually all models of overre-action imply. Using a particular...

If returns on some stocks systematically lead or lag those of others, a portfolio strat-egy that sells "winners" and buys "losers" can produce positive expected returns, even if no stock's returns are negatively autocorrelated as virtually all models of overre-action imply. Using a particular...