Industries and Stock Return Reversals

2010 ◽  
Author(s):  
Allaudeen Hameed ◽  
G. Mujtaba Mian ◽  
Huang Joshua
Keyword(s):  
Stock Return ◽  
Return Reversals

Downside Risk and Long-Horizon Stock Return Reversals

2012 ◽  
Author(s):  
Nikolaos Artavanis ◽  
Gregory B. Kadlec ◽  
Raman Kumar
Keyword(s):  
Stock Return ◽  
Downside Risk ◽  
Return Reversals

Industries and Stock Return Reversals

2012 ◽  
Author(s):  
Allaudeen Hameed ◽  
G. Mujtaba Mian
Keyword(s):  
Stock Return ◽  
Return Reversals

Industries and Stock Return Reversals

2014 ◽  
Vol 50 (1-2) ◽  
pp. 89-117 ◽  
Author(s):  
Allaudeen Hameed ◽  
G. Mujtaba Mian
Keyword(s):  
Bearing Capacity ◽  
Stock Returns ◽  
Stock Return ◽  
Market Portfolio ◽  
Capital Constraints ◽  
Return Reversals ◽  
Over Time

AbstractThis paper documents pervasive evidence of intra-industry reversals in monthly returns. Unlike the conventional reversal strategy based on stock returns relative to the market portfolio, we document intra-industry return reversals that are larger in magnitude, consistently present over time, and prevalent across subgroups of stocks, including large and liquid stocks. These return reversals are driven by order imbalances and noninformational shocks. Consistent with reversals representing compensation for supplying liquidity, intra-industry reversals are stronger following aggregate market declines and volatile times, reflecting binding capital constraints and limited risk-bearing capacity of liquidity providers.

scholarly journals The effect of short-term return reversals on momentum profits

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Myounghwa Sim ◽  
Hee-Eun Kim
Keyword(s):  
Stock Market ◽  
Term Structure ◽  
Stock Return ◽  
Short Term ◽  
Past Performance ◽  
Momentum Profits ◽  
Korean Stock Market ◽  
Return Reversal ◽  
Return Reversals

The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015). Their empirical findings show that the term structure of momentum is more pronounced when a return reversal lasts up to two months but is substantially weakened when past performance over the last two months is not taken into account for portfolio formation. Their evidence suggests that the term structure of momentum profitability arises primarily from a carryover of the return reversal from the previous two months.

A Reexamination of the Causes of Time-Varying Stock Return Volatilities

CFA Digest ◽  
2010 ◽  
Vol 40 (4) ◽  
pp. 33-35
Author(s):  
Stephen Phillip Huffman
Keyword(s):  
Stock Return ◽  
Time Varying

Analisis Komparatif Return Saham Dan Volume Perdagangan Saham Sebelum dan Sesudah Harbolnas Pada Perusahaan Dagang Yang Terdaftar Di Bei

2020 ◽  
Vol 17 (2) ◽  
Author(s):  
Devy Putri Milanda ◽  
Taufan Adi Kurniawan
Keyword(s):  
Linear Regression ◽  
Abnormal Return ◽  
Stock Return ◽  
Industrial Revolution ◽  
Online Shopping ◽  
Stock Exchange ◽  
Trade Volume ◽  
Volume Activity ◽  
Significance Level ◽  
Before And After

The industrial revolution resulted in several industries changing their management in order to survive, one of the industries that was affected quite considerably was the trading industry. This study aims to analyze stock return and Trade Volume Activity (TVA) of trading companies in Indonesia Stock Exchange (IDX) before and after Harbolnas (Hari Belanja Online Nasional) or National Online Shopping Days. The samples are all trading companies that have listed on the IDX in the year 2019. This study use multiple linear regression with a significance level of 5%. The results show there are no significant differences in the abnormal return before and after Harbolnas, and there are no significant differences in the TVA before and after the harbolnas

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