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Residual return reversals: European evidences

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  • Anh Duc Nguyen

    (CleRMa - Clermont Recherche Management - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand - UCA [2017-2020] - Université Clermont Auvergne [2017-2020])

Abstract

This paper revisits the performance of residual return reversal strategy for European stock markets during the time period 1990-2016. We confirm recent results for US data and find evidences of higher performance of residual return reversal strategy than those of conventional one. The residual return reversal in the EU are robust to market microstructure biases. However, the results are heterogeneous across countries, are robust in France and Germany, but seem to be fragile in smaller countries. We also find a strong significant and positive relation between residual reversal return and market volatility, which supports for the hypothesis that short-term reversal is associated to liquidity provision. Asset pricing models; short-term reversal; residual return reversal; Anomalies. JEL classification: G12.

Suggested Citation

  • Anh Duc Nguyen, 2020. "Residual return reversals: European evidences," Post-Print hal-02493457, HAL.
    • Handle: RePEc:hal:journl:hal-02493457
    Note: View the original document on HAL open archive server: https://hal.science/hal-02493457
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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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