Forecasting extreme performance: The experience with Australian equities

Financial Services Institute of Australasia
Publication Type:
Journal Article
JASSA, 2013, 2013 (1), pp. 32 - 37
Issue Date:
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Over any 12-month period, there is an enormous difference between the returns realised from investing in the best- and worst-performing stocks. We investigate the characteristics of these stocks and find that they share several features: extreme performers tend to be small companies that have volatile share prices and spend significant amounts of money on research and development. Accounting variables tend to be useful in separating out the best and worst performers; the latter also tend to be smaller companies which have lower share prices.
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