Economics at your fingertips  

The long-run reversal in the long run: Insights from two centuries of international equity returns

Adam Zaremba, Renatas Kizys and Muhammad Wajid Raza

Journal of Empirical Finance, 2020, vol. 55, issue C, 177-199

Abstract: We perform the most comprehensive test of long-term reversal in national equity indices ever done. Having examined data from 71 countries for the years 1830 through 2019, we demonstrate a strong reversal pattern: the past long-term return negatively predicts future performance. The phenomenon is not subsumed by other established cross-sectional return patterns, including the value effect. The long-term reversal is robust to many considerations but highly unstable through time. Finally, our findings support the overreaction explanation of this anomaly.

Keywords: Long-term reversal; Long-run reversal; Country equity indices; Early security data; Equity anomalies; Asset pricing; Return predictability (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 N20 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
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:

DOI: 10.1016/j.jempfin.2019.11.007

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2021-01-25
Handle: RePEc:eee:empfin:v:55:y:2020:i:c:p:177-199