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Showing 1 to 2 of 2 for “"Reversal Strategy"”.
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Testing the Long-Term Profitability of the Short-Term Reversal Strategy
… between 1 January 2005 and 31 December 2017. The reversal strategy’s performance was evaluated using portfolios constructed as quantiles of 100 or 500 shares, respectively, where the investor had the option of implementing the reversal strategy immediately after an information-gathering period …
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Short-term return reversion on the JSE
… This paper finds that the standard short-term reversal strategy can be improved upon by a double application of the strategy. Furthermore, return reversal are found to be strongest when comparing prior 5 day returns with future 5 day returns. The best strategy is found to be the double …