Sie können Bookmarks mittels Listen verwalten, loggen Sie sich dafür bitte in Ihr SLUB Benutzerkonto ein.
Medientyp:
E-Artikel
Titel:
A Closer Look at the Short-Term Return Reversal
Beteiligte:
Da, Zhi;
Liu, Qianqiu;
Schaumburg, Ernst
Erschienen:
Institute for Operations Research and the Management Sciences (INFORMS), 2014
Erschienen in:Management Science
Sprache:
Englisch
DOI:
10.1287/mnsc.2013.1766
ISSN:
0025-1909;
1526-5501
Entstehung:
Anmerkungen:
Beschreibung:
<jats:p> Stock returns unexplained by “fundamentals,” such as cash flow news, are more likely to reverse in the short run than those linked to fundamental news. Making novel use of analyst forecast revisions to measure cash flow news, a simple enhanced reversal strategy generates a risk-adjusted return four times the size of the standard reversal strategy. Importantly, isolating the component of past returns not driven by fundamentals provides a cleaner setting for testing existing theories of short-term reversals. Using this approach, we find that both liquidity shocks and investor sentiment contribute to the observed short-term reversal, but in different ways: Specifically, the reversal profit is attributable to liquidity shocks on the long side because fire sales more likely demand liquidity, and it is attributable to investor sentiment on the short side because short-sale constraints prevent the immediate elimination of overvaluation. </jats:p><jats:p> This paper was accepted by Brad Barber, finance. </jats:p>