| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 961568 | Journal of Financial Markets | 2013 | 28 Pages |
Abstract
⺠Conventional short-term reversal strategies exhibit dynamic factor exposures. ⺠A novel reversal strategy, based on residual returns, exhibits no dynamic exposures. ⺠Risk-adjusted residual reversal returns are twice that of conventional reversal. ⺠After trading costs, residual reversal profits are still highly significant.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
David Blitz, Joop Huij, Simon Lansdorp, Marno Verbeek,