The results for skipping one month between J and K for the whole sample period 1997–2012.

This table reports the average annualized returns and the corresponding t-statistics adjusted for heteroscedasticity and autocorrelation of the loser, winner and contrarian portfolios, which are formed based on J-month lagged returns and held for K months with J = K. There is a one-month skip between the estimation and holding horizons. The values of J and K for different strategies are indicated in the first row. Panel A is for SHSE stocks and Panel B is for SZSE stocks. In ranking the J-month lagged returns, decile grouping, quintile grouping and tertile grouping are adopted. The sample period is January 1997 to December 2012. The superscripts * and ** denote the significance at 5% and 1% levels, respectively.The results for skipping one month between J and K for the whole sample period 1997–2012.