Reversals

Reversals#

1. Investigate Reversals#

Data#

Find monthly data on the long-term reversal factor.

  • LT Reversal (excess returns)

  • deciles (total returns)

1.1.#

Report summary statistics for the reversal factor.

1.2.#

Report the summary statistics for the low and high decile from deciles (total returns).

Do you see evidence of differential performance?

Plot the cumulative return of each.

1.3.#

Does your answer to 1.2 change if we focus just on data since Jan 2001?

1.4.#

Staying with the later subsample, do you see evidence that the results are significantly impacted by small stocks?

Use size_sorts (total returns) to compare BIG LoPRIOR to BIG HiPRIOR.

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