Abstract
Short-term reversal is a well-documented market anomaly that was first noted by Fama (1965). Following Jegadeesh (1990), Jegadeesh and Titman (1995b), and Lehmann (1990), the reversal variable for each stock in month t is defined as the return of the same stock over the previous month. Jegadeesh (1990) shows that for the period 1934–1987, short-term reversal strategy yielded approximately 2 percent extra return per month. Profits based on short-term reversal strategy may be explained as the reflection of the investors’ initial price overreaction to information (see, for example, Shiller, 1984; Stiglitz, 1989; Subrahmanyam, 2005), or as the price pressure connected to liquidity shocks (see, for example, Grossman and Miller, 1988; Jegadeesh and Titman, 1995a; Pastor and Stambaugh, 2003).
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© 2014 Nusret Cakici and Kudret Topyan
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Cakici, N., Topyan, K. (2014). Short-Term Reversal. In: Risk and Return in Asian Emerging Markets. Palgrave Macmillan, New York. https://doi.org/10.1057/9781137359070_7
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DOI: https://doi.org/10.1057/9781137359070_7
Publisher Name: Palgrave Macmillan, New York
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