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Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices

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  • Adam Zaremba

    (Poznań University of Economics and Business, Department of Investment and Capital Markets, Poznań.)

Abstract

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.

Suggested Citation

  • Adam Zaremba, 2016. "Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 88-103, March.
    • Handle: RePEc:rjr:romjef:v::y:2016:i:1:p:88-103
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    References listed on IDEAS

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    Cited by:

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    2. Zaremba, Adam & Andreu, Laura, 2018. "Paper profits or real money? Trading costs and stock market anomalies in country ETFs," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 181-192.
    3. Zaremba, Adam & Umutlu, Mehmet, 2018. "Size matters everywhere: Decomposing the small country and small industry premia," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 1-18.

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    More about this item

    Keywords

    long-term reversal; stock market indices; country stock markets; country- level anomalies; international markets; asset pricing; investment strategies;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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