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

Adam Zaremba , Renatas Kizys , Muhammad Raza Wajid


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
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
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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