Has the long-term reversal reversed? Evidence from country equity indices

Adam Zaremba


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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesRomanian Journal of Economic Forecasting, ISSN 1582-6163, (A 15 pkt)
Issue year2016
Publication size in sheets0.75
Keywords in Englishlong-term reversal, stock market indices, country stock markets, countrylevel anomalies, international markets, asset pricing, investment strategies
ASJC Classification2000 General Economics, Econometrics and Finance
URL http://www.ipe.ro/rjef/rjef1_16/rjef1_2016p88-103.pdf
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 10-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 15.0, 10-12-2019, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2016 = 0.35; WoS Impact Factor: 2016 = 0.238 (2) - 2016=0.232 (5)
Citation count*9 (2020-09-10)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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