Residual return reversals: European evidences - Université Clermont Auvergne Accéder directement au contenu
Article Dans Une Revue Research in International Business and Finance Année : 2020

Residual return reversals: European evidences

Anh Duc Nguyen
  • Fonction : Auteur
  • PersonId : 1007638

Résumé

This paper revisits the performance of residual return reversal strategy for European stock markets during the time period 1990-2016. We confirm recent results for US data and find evidences of higher performance of residual return reversal strategy than those of conventional one. The residual return reversal in the EU are robust to market microstructure biases. However, the results are heterogeneous across countries, are robust in France and Germany, but seem to be fragile in smaller countries. We also find a strong significant and positive relation between residual reversal return and market volatility, which supports for the hypothesis that short-term reversal is associated to liquidity provision. Asset pricing models; short-term reversal; residual return reversal; Anomalies. JEL classification: G12.
Fichier principal
Vignette du fichier
Residual return teversals European evidences.pdf (284.74 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02493457 , version 1 (27-02-2020)

Identifiants

  • HAL Id : hal-02493457 , version 1

Citer

Anh Duc Nguyen. Residual return reversals: European evidences. Research in International Business and Finance, In press. ⟨hal-02493457⟩
79 Consultations
314 Téléchargements

Partager

Gmail Facebook X LinkedIn More