Cause of Return Reversal: Information Monopoly Hypothesis

2011 ◽  
Author(s):  
Viktoria Dalko
Keyword(s):  
Information Monopoly ◽  
Return Reversal

scholarly journals Disposition Effect and Return Predictability in the Tunisian Stock Market

2017 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
Cheïma Hmida ◽  
Ramzi Boussaidi
Keyword(s):  
Stock Market ◽  
Behavioral Finance ◽  
Stock Prices ◽  
Stock Price ◽  
Return Predictability ◽  
Capital Gains ◽  
Disposition Effect ◽  
Individual Investors ◽  
Long Run ◽  
Return Reversal

The behavioral finance literature has documented that individual investors tend to sell winning stocks more quickly than losing stocks, a phenomenon known as the disposition effect, and that such a behavior has an impact on stock prices. We examined this effect in the Tunisian stock market using the unrealized capital gains/losses of Grinblatt & Han (2005) to measure the disposition effect. We find that the Tunisian investors exhibit a disposition effect in the long-run horizon but not in the short and the intermediate horizons. Moreover, the disposition effect predicts a stock price continuation (momentum) for the whole sample. However this impact varies from an industry to another. It predicts a momentum for “manufacturing” but a return reversal for “financial” and “services”.

Fundamental strength and short-term return reversal

2019 ◽  
Vol 52 ◽  
pp. 22-39 ◽  
Author(s):  
Zhaobo Zhu ◽  
Licheng Sun ◽  
Min Chen
Keyword(s):  
Short Term ◽  
Return Reversal

scholarly journals Identifying Key Drivers of Return Reversal with Dynamical Bayesian Factor Graph

PLoS ONE ◽  
2016 ◽  
Vol 11 (11) ◽  
pp. e0167050 ◽  
Author(s):  
Shuai Zhao ◽  
Yunhai Tong ◽  
Zitian Wang ◽  
Shaohua Tan
Keyword(s):  
Factor Graph ◽  
Key Drivers ◽  
Bayesian Factor ◽  
Return Reversal

Predicting return reversal through a two-stage method

2016 ◽  
Author(s):  
Shuai Zhao ◽  
Yunhai Tong ◽  
Xiangfeng Meng ◽  
Xianglin Yang ◽  
Shaohua Tan
Keyword(s):  
Two Stage ◽  
Return Reversal
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