The winner-loser effect in the Tunisian stock market: A multidimensional risk-based explanation

The purpose of this paper is to examine the winner-loser effect in the Tunisian stock market for the period 1974–2013. We found evidence of market-adjusted return reversal of the winner and the loser portfolios for different formation periods. We re-examined this anomaly in a multidimensional risk change framework using the three-factor model of Fama and French. We found that the abnormal returns of the extreme portfolios and the contrarian profits disappear when controlling for risk change from the formation to the holding periods.