Asymmetric Reversals

Federico Baldi-Lanfranchi, Pierre Collin-Dufresne and Kent Daniel

No 35840, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Short-term return reversal is one of the most robust asset-pricing anomalies, and is commonly linked to liquidity provision. We decompose individual firm stock returns into two distinct components: SYS, the component of returns that can be linked to systematic risk and public information releases; and an orthogonal residual RES. The RES component reverses, while the SYS component exhibits continuation. Moreover, the residual reversals are highly asymmetric: positive residual shocks reverse much more slowly than negative shocks. A return factor based on asymmetric idiosyncratic reversal subsumes the idiosyncratic volatility factor and a broad set of other short-horizon anomalies. Our findings suggest that asymmetric idiosyncratic reversal (AIR) is the primary driver of short-term return predictability.

JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2026-10
Note: AP
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.nber.org/papers/w35840.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html. Free access is also available to older working papers.

Related works:
Working Paper: Asymmetric Reversals (2026)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:35840

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w35840
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().