Trees Do Not Grow to the Sky: Reversals in a Stock Market

  • Adam Zaremba
  • Jacob “Koby” Shemer


While the momentum strategy assumes the continuation of the price movement, the reversal strategies rely on a contrary assumption: predicting the price trend to revert. How can both the phenomena coexist? The solution is the investment horizon. While the momentum effect arises in the mid-term (3–12 months), the reversal occurs either in the short term (1 month) or in the long term (3–5 years). This chapter thoroughly discusses both the sources and implementation of reversal strategies in financial markets. The authors also showcased various improvements to the reversal strategies providing vast theoretical and empirical evidence in their support. Finally, they individually tested the reversal techniques across 24 different equity markets.


  1. Ahmad, Z., & Hussain, S. (2001). KLSE long run overreaction and the Chinese New Year effect. Journal of Business, Finance, and Accounting, 28(1–2), 63–112.CrossRefGoogle Scholar
  2. Ali, N., Nassair, A. M., Hassan, T., & Abidin, S. Z. (2011). Stock overreaction behaviour in Bursa Malaysia: Does the length of formation period matter? British Journal of Economics Finance and Management Sciences, 2(2), 42–56.Google Scholar
  3. Alonso, A., & Rubio, G. (1990). Overreaction in the Spanish equity market. Journal of Banking and Finance, 14, 469–481.CrossRefGoogle Scholar
  4. Andersson, H. (2007). Are commodity prices mean reverting? Applied Financial Economics, 17(10), 769–783. Scholar
  5. Andrade, S. C. (2009). A model of asset pricing under country risk. Journal of International Money and Finance, 28(4), 671–695.CrossRefGoogle Scholar
  6. Andrikopoulos, P., Daynes, A., Latimer, D., & Pagas, P. (2006). The value premium and methodological biases: Evidence from the UK equity market. Investment Management and Financial Innovation, 3(1), 40–59.Google Scholar
  7. Anghel, A., Dumitrescu, D., & Tudor, C. (2015). Modeling portfolio returns on Bucharest Stock exchange using the Fama-French multifactor model. Romanian Journal of Economic Forecasting, 17(1), 22–46.Google Scholar
  8. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. Journal of Finance, 68(3), 929–985.CrossRefGoogle Scholar
  9. Avramov, D., Chordia, T., & Goyal, A. (2006a). Liquidity and autocorrelations in individual stock returns. Journal of Finance, 61, 2365–2394.CrossRefGoogle Scholar
  10. Avramov, D., Chordia, T., & Goyal, A. (2006b). The impact of trades on daily volatility. Review of Financial Studies, 19(4), 1241–1277.CrossRefGoogle Scholar
  11. Avramov, D., Chordia, T., Jostova, G., & Philipov, A. (2013). Anomalies and financial distress. Journal of Financial Economics, 108(1), 139–159.CrossRefGoogle Scholar
  12. Avramov, D., Kaplanski, G., & Levy, H. (2017). Talking numbers: Technical versus fundamental investment recommendations. Available at SSRN: or Accessed 21 Oct 2017.
  13. Bacmann, J. F., & Dubois, M. (1998). Contrarian strategies and cross-autocorrelations in stock returns: Evidence from France. Available at SSRN: or Accessed 23 Oct 2017.
  14. Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance, 61(4), 1645–1680.CrossRefGoogle Scholar
  15. Bali, T. G., Subrahmanyam, A., & Wen, Q. (2017). Return-based factors for corporate bonds. Available at SSRN: or Accessed 23 Oct 2017.
  16. Ball, R., & Kothari, S. (1989). Non stationary expected returns: Implications for test of market efficiency and serial correlation in returns. Journal of Financial Economics, 25, 51–74.CrossRefGoogle Scholar
  17. Ball, R., Kothari, S., & Shanken, J. (1995a). Problems in measuring portfolio performance: An application to contrarian investment strategies. Journal of Financial Economics, 38, 79–107.CrossRefGoogle Scholar
  18. Balvers, R. J., & Wu, Y. (2006). Momentum and mean reversion across national equity markets. Journal of Empirical Finance, 13, 24–48.CrossRefGoogle Scholar
  19. Balvers, R., Wu, Y., & Gililand, E. (2000). Mean reversion across national stock markets and parametric contrarian investment strategies. Journal of Finance, 55(2), 745–772. Scholar
  20. Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9, 3–18.CrossRefGoogle Scholar
  21. Banz, R., & Breen, W. (1986). Sample dependent results using accounting and market data: Some evidence. Journal of Finance, 41(4), 779–793.CrossRefGoogle Scholar
  22. Barberis, N., & Huang, M. (2001). Mental accounting, loss aversion, and individual stock returns. Journal of Finance, 56(4), 1247–1292.CrossRefGoogle Scholar
  23. Basu, S. (1983). The relationship between earnings yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics, 12, 129–156.CrossRefGoogle Scholar
  24. Baytas, A., & Cakici, N. (1999). Do markets overreact: International evidence. Journal of Banking and Finance, 23, 1121–1144.CrossRefGoogle Scholar
  25. Bekaert, G., Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1996). The cross-sectional determinants of emerging equity market returns. Retrieved from Accessed 21 Sept 2015.
  26. Bhanot, K. (2005). What causes mean reversion in corporate bond index spreads? The impact of survival. Journal of Banking and Finance, 29(6), 1385–1403. Scholar
  27. Bhushan, R. (1989). Firm characteristics and analyst following. Journal of Accounting and Economics, 11(2–3), 255–274.CrossRefGoogle Scholar
  28. Bildik, R., & Gulay, G. (2007). Profitability of contrarian strategy: Evidence from the Istanbul stock exchange. International Review of Finance, 7(1–2), 61–87.Google Scholar
  29. Black, F. (1986). Noise. Journal of Finance, 41, 529–543.CrossRefGoogle Scholar
  30. Blackburn, D. W., & Cakici, N. (2017). Overreaction and the cross-section of returns: International evidence. Journal of Empirical Finance, 42, 1–14. Scholar
  31. Blitz, D., Huij, J., Lansdorp, S., & Verbeek, M. (2013a). Short-term residual reversal. Journal of Financial Markets, 16, 477–504.CrossRefGoogle Scholar
  32. Blitz, D., Pang, J., & van Vliet, P. (2013b). The volatility effect in emerging markets. Emerging Markets Review, 16, 31–45.Google Scholar
  33. Blitz, D., van der Grient, B., & Hanauer, M. (2014b). What drives the value premium? (White paper). Robeco. Available at Accessed 13 Oct 2015.
  34. Bornholt, G., Gharaibeh, O., & Malin, M. (2015). Industry long-term return reversal. Journal of International Financial Markets, Institutions and Money, 38, 65–78. Scholar
  35. Brailsford, T. (1992). A test for the winner-loser anomaly in the Australian equity market: 1958–87. Journal of Business Finance and Accounting, 19(2), 225–241.CrossRefGoogle Scholar
  36. Cakici, N., & Topyan, K. (2014). Risk and return in Asian emerging markets. New York: Springer.CrossRefGoogle Scholar
  37. Campbell, K., & Limmack, R. J. (1997). Long term overreaction in the UK stock market and size adjustments. Applied Financial Economics, 7, 537–548.CrossRefGoogle Scholar
  38. Campbell, J., Grossman, S. J., & Wang, J. (1993). Trading volume and serial correlation in stock returns. Quarterly Journal of Economics, 108(4), 905–939.CrossRefGoogle Scholar
  39. Campbell, C. J., Rhee, S. G., Du, Y., & Tang, N. (2008). Market sentiment, IPO underpricing, and valuation (Working paper). Available at SSRN: or Accessed 22 Nov 2015.
  40. Cao, V. N. (2015a). What explains the value premium? The case of adjustment costs, operating leverage and financial leverage. Journal of Banking & Finance, 59, 350–366.CrossRefGoogle Scholar
  41. Cao, X. (2015b). Are idiosyncratic skewness and idiosyncratic kurtosis priced? (Brock University working paper). Available at Accessed 14 Oct 2017.
  42. Carlson, M., Fisher, A., & Giammarino, R. (2004). Corporate investment and asset price dynamics: Implications for the cross section of returns. Journal of Finance, 59(6), 2577–2603.CrossRefGoogle Scholar
  43. Carpenter, J. N., & Lynch, A. W. (1999). Survivorship bias and attrition effects in measures of performance persistence. Journal of Financial Economics, 54, 337–374.CrossRefGoogle Scholar
  44. Chan, K. (1988). On the contrarian investment strategy. Journal of Business, 61, 147–163.CrossRefGoogle Scholar
  45. Chan, E. P. (2013). Mean reversion of currencies and futures. In Algorithmic trading: Winning strategies and their rationale. Hoboken: John Wiley & Sons, Inc. Scholar
  46. Chan, L. K. C., Jegadeesh, N., & Lakonishok, J. (1995). Evaluating the performance of value versus glamour stocks: The impact of selection bias. Journal of Financial Economics, 38(3), 269–296.CrossRefGoogle Scholar
  47. Chaves, D. B., & Viswanathan, V. (2016). Momentum and mean-reversion in commodity spot and futures markets. Journal of Commodity Markets, 3(1), 39–53.CrossRefGoogle Scholar
  48. Chaves, D. B., Hsu, J. C., Kalesnik, V., & Shim, Y. (2012). What drives the value effect? Risk versus mispricing: Evidence from international markets (Working paper). Available at SSRN: or Accessed 23 Oct 2017.
  49. Chen, H. S., & De Bondt, W. (2004). Style momentum within the S&P-500 index. Journal of Empirical Finance, 11, 483–507.CrossRefGoogle Scholar
  50. Chen, S.-N., & Jeon, K. (1998). Mean reversion behavior of the returns on currency assets. International Review of Economics & Finance, 7(2), 185–200. Scholar
  51. Choi, J. (2013). What drives the value premium? The role of asset risk and leverage. Review of Financial Studies, 26(11), 2845–2875.CrossRefGoogle Scholar
  52. Chopra, N., Lakonishok, J., & Ritter, J. (1992). Measuring abnormal performance. Journal of Financial Economics, 31, 235–268.CrossRefGoogle Scholar
  53. Chui, A. C. W., Wei, J. K. C., & Xie, F. (2013). Explaining the value premium around the world: Risk or mispricing? (Working paper). Available at
  54. Clare, A., & Thomas, S. (1995, October). The overreaction hypothesis and the UK stock market. Journal of Business & Accounting, 22(7), 961–973.CrossRefGoogle Scholar
  55. Cochrane, J. H. (1991). Production-based asset pricing and the link between stock returns and economic fluctuations. Journal of Finance, 46, 209–237.CrossRefGoogle Scholar
  56. Cochrane, J. H. (1996). A cross-sectional test of an investment-based asset pricing model. Journal of Political Economy, 104, 572–621.CrossRefGoogle Scholar
  57. Conrad, J., & Kaul, G. (1993). Long-term market overreaction or biases in computer returns? Journal of Finance, 48(1), 39–63.CrossRefGoogle Scholar
  58. Conrad, J., Gultekin, M. N., & Kaul, G. (1997). Profitability of short-term contrarian strategies: Implications for market efficiency. Journal of Business & Economic Statistics, 15(3), 379–386. Scholar
  59. Conrad, J., & Kaul, G. (1998). An anatomy of trading strategies. Review of Financial Studies, 11(3), 489–519.CrossRefGoogle Scholar
  60. Cooper, I. (2006). Asset pricing implications of non-convex adjustment costs and irreversibility of investment. Journal of Finance, 61(1), 139–170.CrossRefGoogle Scholar
  61. Da Costa, N. C. (1994). Overreaction in the Brazilian stock market. Journal of Banking and Finance, 18, 633–642.CrossRefGoogle Scholar
  62. Da, Z., & Schaumburg, E. (2007). Target prices, relative valuations and the premium for liquidity provision (AFA 2007 Chicago meetings paper). University of Notre Dame.Google Scholar
  63. Da, Z., Liu, Q., & Schaumburg, E. (2011). Decomposing short-term return reversal (Federal Reserve Bank of New York staff report No. 513). Available at Accessed 9 Oct 2017.
  64. Da, Z., Liu, Q., & Schaumburg, E. (2014a). A closer look at the short-term return reversal. Management Science, 60, 658–674.CrossRefGoogle Scholar
  65. Dahlquist, M., & Bansal, R. (2002a). Expropriation risk and return in global equity markets (EFA 2002 Berlin meetings presented paper). Available at SSRN: or Accessed 21 Sept 2015.
  66. de Groot, W., & Huij, J. (2011). Are the Fama-French factors really compensations for distress risk? (Working paper). Available at SSRN: or Accessed 12 Oct 2015.
  67. de Groot, W., Huij, J., & Zhou, W. (2012). Another look at trading costs and short-term reversal profits. Journal of Banking and Finance, 36(2), 371–382. Scholar
  68. DeBondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793–805.CrossRefGoogle Scholar
  69. DeBondt, F., & Thaler.R. (1987). Further evidence on the investor overreaction and stock market seasonality. Journal of Finance, 42, 557–581.CrossRefGoogle Scholar
  70. Dhouib, F. H., & Abaoub, E. (2007). Does the Tunisian stock market overreact? Asian Academy of Management Journal of Accounting and Finance, 3(2), 83–107.Google Scholar
  71. Dichev, I. D. (1998). Is the risk of bankruptcy a systematic risk? Journal of Finance, 53(3), 1131–1147.CrossRefGoogle Scholar
  72. Dimson, E., & Marsh, P. (1999). Murphy’s law and market anomalies. Journal of Portfolio Management, 25(2), 53–69.CrossRefGoogle Scholar
  73. Dissanaike, G. (1997). Do stock market investors overreact? Journal of Business and Accounting, 24, 27–49.CrossRefGoogle Scholar
  74. Doukas, J. A., Kim, C., & Pantzalis, C. (2004). Divergent opinions and the performance of value stocks. Financial Analyst Journal, 60(6), 55–64.CrossRefGoogle Scholar
  75. Du, D. (2011). Value premium and investor sentiment. Advances in Behavioral Finance & Economics: The Journal of the Academy of Behavioral Finance, 1(2), 87–101.Google Scholar
  76. Elgammal, M. M., & McMillan, D. G. (2014). Value premium and default risk. Journal of Asset Management, 15, 48–61.CrossRefGoogle Scholar
  77. Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1995). Country risk and global equity selection. Journal of Portfolio Management, 21(2), 74–83.CrossRefGoogle Scholar
  78. Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1996a). Expected returns and volatility in 135 countries. Journal of Portfolio Management, 22(3), 46–58.CrossRefGoogle Scholar
  79. Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1996b). Political risk, economic risk, and financial risk. Financial Analyst Journal, 52(6), 29–46.CrossRefGoogle Scholar
  80. Fama, E. F. (1965). The behavior of stock-market prices. Journal of Business, 38(1), 34–105.CrossRefGoogle Scholar
  81. Fama, E. F., & French, K. R. (1992). The cross-section of expected returns. Journal of Finance, 47, 427–466.CrossRefGoogle Scholar
  82. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56. Scholar
  83. Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance, 51(1), 55–84.CrossRefGoogle Scholar
  84. Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. Scholar
  85. Ferson, W. E., & Harvey, C. R. (1994). Sources of risk and expected returns in global equity markets. Journal of Banking and Finance, 18, 775–803.CrossRefGoogle Scholar
  86. Forner, C., & Marhuenda, J. (2003). Contrarian and momentum strategies in the Spanish stock market. European Financial Management, 9(1), 67–88.CrossRefGoogle Scholar
  87. Garlappi, L., & Song, Z. (2013). Can investment shocks explain value premium and momentum profits? (Working paper). Available at Accessed 13 Oct 2015.
  88. George, T. J., & Hwang, C.-Y. (2007). Long-term return reversals: Overreaction or taxes? Journal of Finance, 62(6), 2865–2896.CrossRefGoogle Scholar
  89. Gharaibeh, O. K. (2015). Long-term contrarian profits in the Middle East market indices. Research Journal of Finance and Accounting, 6(16). Available at SSRN: Accessed 23 Oct 2017.
  90. Green, J., Hand, J. R. M., & Zhang, F. (2016). The characteristics that provide independent information about average U.S. monthly stock returns. Available at SSRN: or Accessed 23 Oct 2017.
  91. Griffin, J. M., & Lemmon, M. L. (2002). Book-to-market equity, distress risk, and stock returns. Journal of Finance, 57, 2317–2336.CrossRefGoogle Scholar
  92. Grossman, S., & Miller, M. H. (1988). Liquidity and market structure. Journal of Finance, 43, 617–633.CrossRefGoogle Scholar
  93. Hameed, A., & Mian, G. M. (2015). Industries and stock return reversals. Journal of Financial and Quantitative Analysis, 50(1–2), 89–117.CrossRefGoogle Scholar
  94. Hansson, B. (2004). Human capital and stock returns: Is the value premium an approximation for return on human capital? Journal of Business Finance & Accounting, 31(3–4), 333–358.CrossRefGoogle Scholar
  95. Hao, Y., Chu, H.-H., Ho, K.-Y., & Ko, K.-C. (2016). The 52-week high and momentum in the Taiwan stock market: Anchoring or recency biases? International Review of Economics & Finance, 43, 121–138. Scholar
  96. Harvey, C. R. (2004). Country risk components, the cost of capital, and returns in emerging markets. In S. Wilkin (ed.), Country and political risk: Practical insights for global finance (pp. 71–102). London: Risk Books. Available at SSRN: or Accessed 21 Sept 2015.
  97. Hong, H., Lim, T., & Stein, J. C. (2000). Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. Journal of Finance, 55(1), 265–295.CrossRefGoogle Scholar
  98. Hou, K., Karolyi, G. A., & Kho, B. C. (2011). What factors drive global stock returns? Review of Financial Studies, 24(8), 2527–2574. Scholar
  99. Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. Review of Financial Studies, 28(3), 650–705. Scholar
  100. Hou, K., Xue, C., & Zhang, L. (2017). Replicating Aanomalies. Fisher College of Business Working Paper No. 2017-03-010; Charles A. Dice Center Working Paper No. 2017-10. Available at SSRN: or Accessed 30 Sept 2017.
  101. Hsieh, H.-H., & Hodnett, K. (2011). Tests of overreaction hypothesis and the timing of mean reversals on the JSE Securities Exchange (JSE): The case of South Africa. Journal of Applied Finance and Banking, 1(1), 107–130.Google Scholar
  102. Huang, W., Liu, Q., Rhee, S. G., & Zhang, L. (2010). Return reversals, idiosyncratic risk, and expected returns. Review of Financial Studies, 23, 147–168.CrossRefGoogle Scholar
  103. Irwin, S. H., Zulauf, C. R., & Jackson, T. E. (1996). Monte Carlo analysis of mean reversion in commodity futures prices. American Journal of Agricultural Economics, 78(2), 387–399.CrossRefGoogle Scholar
  104. Ismail, E. (2012). Do momentum and contrarian profits exist in the Egyptian stock market? International Research Journal of Finance and Economics, 87, 48–72.Google Scholar
  105. Israel, R., & Moskowitz, T. J. (2013). The role of shorting, firm size, and time on market anomalies. Journal of Financial Economics, 108(2), 275–301.CrossRefGoogle Scholar
  106. Jacobs, H. (2015). What explains the dynamics of 100 anomalies? Journal of Banking & Finance, 57, 65–85. Scholar
  107. Jacobs, H. (2016). Market maturity and mispricing. Journal of Financial Economics, 122(2), 270–287. Scholar
  108. Jacobs, H., & Müller, S. (2017a). Anomalies across the globe: Once public, no longer existent? Available at SSRN: or Accessed 23 Oct 2017.
  109. Jacobs, H., & Müller, S. (2017b). ...and nothing else matters? On the dimensionality and predictability of international stock returns. Available at SSRN: or Accessed 23 Oct 2017.
  110. Jank, S. (2014). Specialized human capital, unemployment risk, and the value premium (Working paper). Available at SSRN: or Accessed 15 Sept 2017.
  111. Janssen, L. (2014). The effect of credit risk on stock returns. Available at Accessed 15 Sept 2015.
  112. Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45, 881–898.CrossRefGoogle Scholar
  113. Jegadeesh, N. (1991). Seasonality in stock price mean reversion: Evidence from U.S. and the U.K. Journal of Finance, 46(4), 1427–1444. Scholar
  114. Jegadeesh, N., & Titman, S. (1995). Short-horizon return reversals and the bid-ask spread. Journal of Financial Intermediation, 4, 116–132.CrossRefGoogle Scholar
  115. Jegadeesh, N., Kim, J., Krische, S., & Lee, C. M. C. (2004). Analyzing the analysts: When do recommendations add value? Journal of Finance, 59(3), 1083–1124.CrossRefGoogle Scholar
  116. Jones, S. (1993). Another look at time varying risk and return in a long horizon contrarian trading strategy. Journal of Financial Economics, 33, 67–93.CrossRefGoogle Scholar
  117. Kalesnik, V. (2013). Smart beta and the pendulum of mispricing (Research affiliates white paper). Available at
  118. Kang, C. O., & Kang, H. G. (2009). The effect of credit risk on stock returns. Journal of Economic Research, 14, 49–67.Google Scholar
  119. Kaul, G., & Nimalendrum, M. (1990). Price reversals: Bid-ask errors or market overreaction. Journal of Financial Economics, 28, 67–93.CrossRefGoogle Scholar
  120. Khang, K., & King, T. D. (2004). Return reversals in the bond market: Evidence and causes. Journal of Banking and Finance, 28(3), 569–593.CrossRefGoogle Scholar
  121. Kothari, S. P., Shanken, J., & Sloan, R. (1995). Another look at the cross-section of expected stock returns. Journal of Finance, 50(1), 185–224.CrossRefGoogle Scholar
  122. Kryzanowski, L., & Zhang, H. (1992). The contrarian investment strategy does not work in Canadian markets. Journal of Financial and Quantitative Analysis, 27(3), 383–395.CrossRefGoogle Scholar
  123. Kumar, P. (2014). Need for mean reversion in forecasting emerging market exchange rates. Available at SSRN: or Accessed 23 Oct 2017.
  124. La Porta, R. (1996). Expectations and the cross-section of stock returns. Journal of Finance, 51(5), 1715–1742.CrossRefGoogle Scholar
  125. La Porta, R., Lakonishok, J., Shleifer, A., & Vishny, R. (1997). Good news for value stocks: Further evidence on market efficiency. Journal of Finance, 52(2), 859–874.CrossRefGoogle Scholar
  126. Lakonishok, J., Schleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. Journal of Finance, 49(5), 1541–1578.CrossRefGoogle Scholar
  127. Lehmann, B. N. (1990). Fads, martingales, and market efficiency. Quarterly Journal of Economics, 105(1), 1–28.CrossRefGoogle Scholar
  128. Lo, A., & MacKinlay, C. (1990). Data-snooping biases in tests of financial asset pricing models. Review of Financial Studies, 3(3), 431–467.CrossRefGoogle Scholar
  129. Loughran, T., & Ritter, J. R. (1996). Long-term market overreaction: The effect of low-priced stocks. Journal of Finance, 51(5), 1959–1970. Scholar
  130. Lubnau, T., & Todorova, N. (2015). Trading on mean-reversion in energy futures markets. Energy Economics, 51, 312–319. Scholar
  131. Maheshwari, S., & Dhankar, R. S. (2015). The long-run return reversal effect: A re-examination in the Indian stock market. Journal of Business Inquiry, 14(2). Available at
  132. Malin, M., & Bornholt, G. (2013). Long-term return reversal: Evidence from international market indices. Journal of International Financial Markets, Institutions and Money, 25, 1–17. Scholar
  133. McLean, R. D. (2010). Idiosyncratic risk, long-term reversal, and momentum. Journal of Financial and Quantitative Analysis, 45, 883–906.CrossRefGoogle Scholar
  134. McLean, D., & Pontiff, J. (2016). Does academic research destroy stock return predictability? Journal of Finance, 71(1), 5–32. Scholar
  135. Miffre, J., & Rallis, G. (2007). Momentum strategies in commodity futures markets. Journal of Banking & Finance, 31(6), 1863–1886. Scholar
  136. Monoyios, M., & Sarno, L. (2002). Mean reversion in stock index futures markets: A nonlinear analysis. Journal of Futures Markets, 22(4), 285–314. Scholar
  137. Moskowitz, T. J., & Grinblatt, M. (1999). Do industries explain momentum? Journal of Finance, 54(4), 1249–1290.CrossRefGoogle Scholar
  138. Nagel, S. (2012). Evaporating liquidity. Review of Financial Studies, 25(7), 2005–2039. Scholar
  139. Ozdagli, A. K. (2012). Financial leverage, corporate investment, and stock returns. Review of Financial Studies, 25, 1033–1069.CrossRefGoogle Scholar
  140. Page, M., & Way, C. (1992). Stock market overreaction: The South African evidence. Investment Analysts Journal, 21, 35–49.Google Scholar
  141. Park, T. H., & Switzer, L. N. (1996). Mean reversion of interest-rate term premiums and profits from trading strategies with treasury futures spreads. Journal of Futures Markets, 16(3), 331–352.<331::AID-FUT5>3.0.CO;2-K.CrossRefGoogle Scholar
  142. Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642–685.CrossRefGoogle Scholar
  143. Pepelas, A. (2008). Testing the overreaction hypothesis in the UK Stock market by using inter & intra industry contrarian strategies. Available at SSRN: or Accessed 23 Oct 2017.
  144. Pettengill, G., & Jordan, B. (1990). The overreaction hypothesis, firm size and stock market seasonality. Journal of Portfolio Management, 16(3), 60–64.CrossRefGoogle Scholar
  145. Phalippou, L. (2004). What drives the value premium (INSEAD working paper). Available at Accessed 13 Oct 2015.
  146. Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 38, 1–52.CrossRefGoogle Scholar
  147. Richards, A. J. (1997). Winner-loser reversals in national stock market indices: Can they be explained? Journal of Finance, 52(5), 2129–2144. Scholar
  148. Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11, 9–17.CrossRefGoogle Scholar
  149. Saleh, W. (2007). Overreaction: The sensitivity of defining the duration of formation period. Applied Financial Economics, 17, 45–61.CrossRefGoogle Scholar
  150. Saleh, W., & Al Sabbagh, O. (2010). Short-term stock price momentum, long-term stock price reversal and the effect of information uncertainty. International Journal of Accounting and Finance, 2(1), 1–48.CrossRefGoogle Scholar
  151. Santos, T., & Veronesi, P. (2006). Labor income and predictable stock returns. Review of Financial Studies, 19(1), 1–44.CrossRefGoogle Scholar
  152. Sekuła, P. (2015). Nadreaktywność GPW w Warszawie – analiza empiryczna. Zeszyty Naukowe Uniwersytetu Szczecińskiego nr 855, “Finanse, Rynki Finansowe, Ubezpieczenia”, 74(1), 171–180.Google Scholar
  153. Serban, A. F. (2010). Combining mean reversion and momentum trading strategies in foreign exchange markets. Journal of Banking & Finance, 34(11), 2720–2727. Scholar
  154. Shiller, R. J. (1984). Stock prices and social dynamics (Cowles Foundation Paper #616, pp. 457–510). Available at Accessed 9 Oct 2017.CrossRefGoogle Scholar
  155. Shleifer, A., & Vishny, R. W. (1997). The limits of arbitrage. Journal of Finance, 52(1), 35–55.CrossRefGoogle Scholar
  156. Shon, J., & Zhou, P. (2010). Do divergent opinions explain the value premium? Journal of Investing, 19(2), 53–62.CrossRefGoogle Scholar
  157. Smith, D. M., & Pantilei, V. S. (2013, forthcoming). Do ‘dogs of the world’ bark or bite? Evidence from single-country ETFs. Journal of Investing. Available at SSRN: or Accessed 23 Oct 2017.
  158. Spierdijk, L., Bikker, J. A., & van den Hoek, P. (2012). Mean reversion in international stock markets: An empirical analysis of the 20th century. Journal of International Money and Finance, 31(2), 228–249. Scholar
  159. Stiglitz, J. E. (1989). Using tax policy to curb speculative trading. Journal of Financial Services, 3, 101–115.CrossRefGoogle Scholar
  160. Stock, D. (1990). Winner and loser anomalies in the German stock market. Journal of Institutional and theoretical Economics, 146(3), 518–529.Google Scholar
  161. Subrahmanyam, A. (2005). Distinguishing between rationales for short-horizon predictability of stock returns. Financial Review, 40, 11–35.CrossRefGoogle Scholar
  162. Summers, L. H., & Summers, V. P. (1989). When financial markets work too well: A cautious case for a securities transactions tax. Journal of Financial Services, 3, 261–286.CrossRefGoogle Scholar
  163. Swallow, S., & Fox, M. A. (1998). Long run overreaction on the New Zealand Stock Exchange (Commerce Division discussion paper, 48). Available at
  164. Sweeney, R. J. (2006). Mean reversion in G-10 nominal exchange rates. Journal of Financial and Quantitative Analysis, 41(3), 685–708 Scholar
  165. Sylvain, S. (2014). Does human capital risk explain the value premium puzzle? (Working paper). Available at SSRN: or Accessed 30 Sept 2017.
  166. Szyszka, A. (2013). Behavioral finance and capital markets: How psychology influences investors and corporation. New York: Palgrave Macmillan.CrossRefGoogle Scholar
  167. Tripathi, V., & Aggarwal, S. (2009). The overreaction effect in Indian stock market. Asian Journal of Business and Accounting, 2(1–2), 93–114.Google Scholar
  168. Wei, J. Z. (2011). Do momentum and reversals coexist? Available at SSRN: or Accessed 10 Oct 2017.
  169. Wei, J. Z., & Yang, L. (2012). Short-term momentum and reversals in large stocks. Available at SSRN: or Accessed 10 Oct 2017.
  170. Wu, Y. (2011). Momentum trading, mean reversion and overreaction in Chinese stock market. Review of Quantitative Finance and Accounting, 37(3), 301–323.CrossRefGoogle Scholar
  171. Zakamulin, V. (2015). Market timing with a robust moving average. Available at SSRN: or Accessed 19 Oct 2017.
  172. Zaremba, A. (2016). Has the long-term reversal reversed? Evidence from country equity indices. Romanian Journal of Economic Forecasting, 19(1), 88–103.
  173. Zaremba, A. (2016a). Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies. Journal of Behavioral and Experimental Finance, 9, 136–163. Scholar
  174. Zaremba, A. (2016b). Strategies based on momentum and term structure in financialized -commodity markets. Business and Economics Research Journal, 7(1), 31–46.CrossRefGoogle Scholar
  175. Zaremba, A. (2016c). Risk-based explanation for the country-level size and value effects. Finance Research Letters, 18, 226–233. Scholar
  176. Zaremba, A. (2016d). Has the long-term reversal reversed? Evidence from country equity indices. Romanian Journal of Economic Forecasting, 19(1), 88–103.
  177. Zaremba, A. (2017). Performance persistence in anomaly returns: Evidence from frontier markets. Available at SSRN: Accessed 31 Oct 2017.
  178. Zaremba, A., & Szyszka, A. (2016). Is there momentum in equity anomalies? Evidence from the Polish emerging market. Research in International Business and Finance, 38, 546–564. Scholar
  179. Zaremba, A., & Andreu Sánchez, L. (2017). Paper profits or real money? Trading costs and stock market anomalies in country equity indices. Available at
  180. Zaremba, A., & Czapkiewicz, A. (2017). Digesting anomalies in emerging European markets: A comparison of factor pricing models. Emerging Markets Review, 31, 1–15. Scholar
  181. Zaremba, A., & Nikorowski, J. (2017). Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe. Available at SSRN: Accessed 23 Oct 2017.
  182. Zaremba, A., & Shemer, K. (2017, in press). Is there momentum in factor premia? Evidence from international equity markets. Research in International Business and Finance.
  183. Zaremba, A., & Umutlu, M. (2018a, in press). Strategies can be expensive too! The value spread and asset allocation in global equity markets. Applied Economics.Google Scholar
  184. Zaremba, A., & Umutlu, M. (2018b). Size matters everywhere: Decomposing the small country and small industry premia. The North American Journal of Economics and Finance, 43, 1–18. Scholar
  185. Zaremba, A., & Umutlu, M. (2018c). Opposites attract: Alpha momentum and alpha reversal in country and industry equity indexes (Unpublished working paper).Google Scholar
  186. Zarowin, P. (1989). Does the stock market overreact to corporate earnings information? Journal of Finance, 44, 1385–1399.Google Scholar
  187. Zarowin, P. (1990). Size, seasonality, stock market and overreaction. Journal of Financial and quantitative Analysis, 25, 113–125.CrossRefGoogle Scholar
  188. Zhang, X. F. (2006). Information uncertainty and stock returns. Journal of Finance, 61(1), 105–101.CrossRefGoogle Scholar
  189. Zhu, Z., & Yung, K. (2016). The interaction of short-term reversal and momentum strategies. Journal of Portfolio Management, 42(4), 96–107. Scholar

Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Adam Zaremba
    • 1
  • Jacob “Koby” Shemer
    • 2
  1. 1.Poznan University of Economics and BusinessPoznanPoland
  2. 2.AlphaBetaTel AvivIsrael

Personalised recommendations