LAUSR

Alternative reversal variable

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0 Published in 2020 at "Finance Research Letters"

DOI: 10.1016/j.frl.2019.06.025

Abstract: In constructing the reversal variable, we tend to ignore the strong momentum in individual stock returns. A simple subtract the average of past 12-month return from previous month return allows us to alleviate the momentum… read more here.

Keywords: reversal; momentum effect; alternative reversal; reversal variable ... See more keywords