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

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

Utilizing Downside Risk Measures

2014 ◽  
Vol 31 (3) ◽  
pp. 42-50 ◽  
Author(s):  
Michelle McCarthy
Keyword(s):  
Risk Measures ◽  
Downside Risk
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