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This paper analyses both common factors and differencing factors that can assist in identifying extremely good performance stocks and extremely poor performance stocks on New Zealand Stock Exchange market (NZX). Adopting the two-stage approach of Beneish, Lee, and Tarpley (2001), the study firstly estimates a model that is able to identify extreme performers relative to a control group within the fourth quarter each year starting from 1994 to 2010. In the second stage, this study contrasts extreme winners and extreme losers within the subset of predicted extreme performers. Findings of the study show that extreme samples are found to have lower market capitalization, lower price before portfolio formation date, and less number of available estimates. In addition, stocks belong to Winners' sample is expected to have lower closing price before the portfolio formation date than Losers' stocks. Extreme samples are also found to have higher standard deviation of return in the prior 6 months before the formation date, and higher ratio between highest closing price and lowest closing price in prior 30 days before the portfolio formation date. Findings of this study are beneficial to fund managers and investment analysts in portfolio construction and stock picking strategies.

Modelling extreme winners and extreme losers in New Zealand Stock Exchange