Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices

Adam Zaremba ()

Journal for Economic Forecasting, 2016, issue 1, 88-103

Abstract: This study reexamines the long-term reversal anomaly across international stock market indices. We investigate a comprehensive and up-to-date sample of 74 countries for the years 1995-2015. By controlling for country-level value, size and momentum effects, we provide convincing evidence that the long-run reversal effect has reversed in the examined period, so that past winners outperform losers. The outcomes are robust to impact of country-specific tax rates on dividends, different portfolio weighting schemes or alternative sorting periods. The “reverse reversal anomaly” is strongest for large markets, nonetheless it is observable in a broad range of subsets, independently of market liquidity, level of development, country financial openness, pricing or short term past performance.

Keywords: long-term reversal; stock market indices; country stock markets; country- level anomalies; international markets; asset pricing; investment strategies (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2016:i:1:p:88-103

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