Has the long-term reversal reversed? Evidence from country equity indices
AbstractThis 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.
|Journal series||Romanian Journal of Economic Forecasting, ISSN 1582-6163, (A 15 pkt)|
|Publication size in sheets||0.75|
|Keywords in English||long-term reversal, stock market indices, country stock markets, countrylevel anomalies, international markets, asset pricing, investment strategies|
|Score|| = 15.0, 10-12-2019, ArticleFromJournal|
= 15.0, 10-12-2019, ArticleFromJournal
|Publication indicators||= 1; : 2016 = 0.35; : 2016 = 0.238 (2) - 2016=0.232 (5)|
|Citation count*||9 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.