The profit to a standard short-term return reversal strategy can be decomposed analytically into four components: 1) across-industry return momentum, 2) within-industry variation in expected returns, 3) under-reaction to within-industry cash flow news, and 4) a residual. Only the residual ...
The profit to a standard short-term return reversal strategy can be decomposed analytically into four components: 1) across-industry return momentum, 2) within-industry variation in expected returns, 3) under-reaction to within-industry cash flow news, and 4) a residual. Only the residual compon...
"Decomposing Short-Term Return Reversal". Available at SSRN: http://ssrn.com/abstract=1551025.Da, Z.; Q. Liu; and E. Schaumburg. "Decomposing the Short-Term Return Reversal." Working Paper, University of Notre Dame (2011). 37Da, Z., Q. Liu, and E. Schaumburg, 2011, Decomposing the...