由 S Maheshwari 著作 · 2015 · 被引用 8 次 — The long-run reversal effect in stock returns has been a well-established phenomenon in the stock market for more than four decades. Such a long-run reversal ...
For instance, the signal becomes stronger at shorter lookback periods, and short-term stock returns that are driven by news do not exhibit a reversal effect.
The short-term reversal anomaly, the phenomenon that stocks with relatively low returns over the past month or week earn positive abnormal returns in the ...
由 GC Arnold 著作 · 2007 · 被引用 17 次 — that the return reversal effect disappeared if the influence of market capitalization (size effect) is adjusted for. Thus, we have doubt thrown on belief in ...
由 A Hameed 著作 · 2015 · 被引用 153 次 — 15 A smaller effect of (Rjt-' - Rmt- 1) on reversals may arise, for example, because industry returns are largely driven by public information rather than order ...
由 S Cheng 著作 · 2017 · 被引用 85 次 — Three explanations come to mind. First, reversals might be associated with his- torical price performance because past returns influence the behavior of active.
由 Z Da 著作 · 2011 · 被引用 39 次 — Our analytical decomposition suggests that the standard short-term reversal strategy is ad- versely affected by the industry momentum effect. As a result, a ...
由 X Chu 著作 · 2023 · 被引用 1 次 — The reversal effect of stock returns shows that stocks with lower returns in the previous period have higher returns in the future, and stocks that ...
由 HA Butt 著作 · 2021 · 被引用 6 次 — (2009) demonstrated that the reversal effect is stronger for stocks with higher volatility. All these characteristics, such as small market capitalization, ...
由 Z Da 著作 · 2014 · 被引用 227 次 — Stock returns unexplained by “fundamentals,” such as cash flow news, are more likely to reverse in the short run than those linked to fundamental news.