Residual return reversals: European evidence

Anh Duy Nguyen

Research in International Business and Finance, 2019, vol. 50, issue C, 392-397

Abstract: This study revisits the performance of the residual return reversal strategy for European stock markets for the period of 1990–2016. We confirm recent results for US data and find evidence of higher performance using residual returns than raw returns. The residual return reversals in the EU are robust to market microstructure biases. However, the results are heterogeneous across countries: the results are robust in France and Germany but seem fragile in smaller countries. We also find a strong significant, positive relation between residual reversal returns and market volatility, which supports the hypothesis that a short-term reversal is associated with liquidity provision.

Keywords: Asset pricing models; Short-term reversal; Residual return reversal; Anomalies (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:50:y:2019:i:c:p:392-397

DOI: 10.1016/j.ribaf.2019.06.011

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