Price reversals in global equity markets

Bernd Scherer (), Diogo Judice and Stephan Kessler

Journal of Asset Management, 2010, vol. 11, issue 5, No 4, 332-345

Abstract: Abstract The objective of this article is to document the existence of significant excess returns for active strategies exploiting short-term reversals. While the previous literature has been mostly focused on individual stock returns, we investigate whether selling past weeks’ winners and buying past weeks’ losers would create ‘alpha’ in global equity markets. In other words, we test the outperformance of a self-financing market neutral long/short portfolio based on price reversals. We carefully investigate the robustness of our results resulting from non-overlapping trading times between global markets, transaction costs, as well as the importance of the day of the week for implementing a weekly reversal strategy. Finally, we apply modern data-snooping tests to eliminate the possibility that our results are the consequence of excessive data mining.

Keywords: price reversal; global equity markets; overreaction; trading strategy; data snooping (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1057/jam.2010.19 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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: https://EconPapers.repec.org/RePEc:pal:assmgt:v:11:y:2010:i:5:d:10.1057_jam.2010.19

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/jam.2010.19

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().