The annualized returns of the loser, winner and contrarian portfolios formed based on J-month lagged returns and held for K months with J = K for SHSE stocks in two subperiods.

This table reports the results of strategy portfolios in the SHSE during two subperiods. The values of J and K for different strategies are indicated in the first row. The top panel is for first subperiod, from January 1997 to September 2007, and the bottom is for the second subperiod from October 2007 to December 2012. The superscripts * and ** denote the significance at 5% and 1% levels, respectively.The annualized returns of the loser, winner and contrarian portfolios formed based on J-month lagged returns and held for K months with J = K for SHSE stocks in two subperiods.