Short-term residual reversal

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• 作者：David Blitz ; Joop Huij ; Simon Lansdorp ; Marno Verbeek
• 关键词：G11 ; G12 ; G14
• 刊名：Journal of Financial Markets
• 出版年：2013
• 出版时间：August, 2013
• 年：2013
• 卷：16
• 期：3
• 页码：477-504
• 全文大小：763 K

文摘

Conventional short-term reversal strategies exhibit dynamic exposures to the Fama and French (1993) factors. We develop a novel reversal strategy based on residual stock returns that does not exhibit these exposures and consequently earns risk-adjusted returns that are twice as large as those of a conventional reversal strategy. Residual reversal strategies generate statistically and economically significant profits net of trading costs, even when we restrict our sample to large-cap stocks over the post-1990 period. Our results are inconsistent with the notion that reversal effects are the result of trading frictions or non-synchronous trading of stocks and pose a serious challenge to rational asset pricing models.