For those who are interested, there is 2021research which is a follow-up to the 1988 Reinganum paper.
The Anatomy of a Stock Market Winner Revisited
H. Krogdahl
Abstract:
Reinganum (1988) presented two strategies, consisting of nine and four investment screens. This thesis finds that the four-screen strategy still outperforms the S&P 500 in terms of average excess cumulative holding period return over two years, while the limited number of stocks meeting all nine filter rules makes the nine-screen strategy essentially impossible to implement.
Following the same methodology as Reinganum (1988), this thesis identifies six new investment screens through analyzing common attributes among a random sample of stocks that at least doubled in price within one calendar year.
Based on Reinganum’s (1988) four-screen strategy and this thesis’ constructed six-screen strategy, equal-weighted and value-weighted portfolios are created to examine how the strategies would have performed when backtested on historical data from 2000-2019.
This thesis finds that Reinganum’s (1988) four-screen strategy outperforms the market in terms of both cumulative holding period and risk adjusted returns, where the equal-weighted portfolio is the better investment. The constructed six-screen strategy outperforms Reinganum’s (1988) four-screen strategy when equal-weighted but underperforms when value-weighted. The results are consistent before and after adjusting for transaction costs.
DB2