The annualized returns of the loser, winner, and contrarian portfolios on the SHSE formed based on decile grouping with varying 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 by ranking the stocks based on their J-month lagged returns, adopting the decile grouping, and holding for K months. The values of J and K for different strategies are indicated in the first collum and the first row respectively. The sample period is January 1997 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 on the SHSE formed based on decile grouping with varying J and K for the whole sample period 1997–2012.