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

Adam Zaremba , Renatas Kizys , Muhammad Raza Wajid

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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Renatas Kizys
Renatas Kizys,,
-
, Muhammad Raza Wajid
Muhammad Raza Wajid,,
-
Journal seriesJournal of Empirical Finance, ISSN 0927-5398, e-ISSN 1879-1727, (N/A 100 pkt)
Issue year2020
Vol55
Pages177-199
Publication size in sheets1.1
Keywords in Polishanomalia długoterminowego odwrócenia, indeksy rynku kapitałowego, indeksy giełdowe, dane historyczne, prognozowanie stóp zwrotu, anomalie rynku kapitałowego, wycena aktywów
Keywords in Englishlong-run reversal, long-term reversal, country equity indices, asset pricing, early security data, return predictability, equity anomalies
ASJC Classification2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1016/j.jempfin.2019.11.007
URL https://www.sciencedirect.com/science/article/pii/S0927539819301033?via%3Dihub
Languageen angielski
Score (nominal)100
Score sourcejournalList
ScoreMinisterial score = 100.0, 08-06-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 1.177; WoS Impact Factor: 2017 = 0.946 (2) - 2017=1.306 (5)
Citation count*2 (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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