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 attributable to trading frictions, liquidity, or non-synchronous trading of stocks and pose a serious challenge to rational asset pricing models.
Entdecken Sie den Wert von Quantitative Investing
Abonnieren Sie den Newsletter, um aktuelle Strategien und Einblicke für Quantitative Investing zu erhalten.