出版社：Using data on China " A" Share market through 1995.01-2001.12, we find significant long-horizon return reversal. However, during short and medium-horizon, both loser and winner portfolios perform worst in the future, while the medium portfolio performs best in the future. It makes the chart of returns of the portfolios looks like a saddle. This is an interesting discovery ever found in this area. We also find that it is not small firms or IPO that causes this anomaly. After the comparison of the
