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Showing 1 to 1 of 1 for “"stock reversals"”.
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A Treatise on Downside Risk
… long-withstanding market anomaly; the long-term stock return reversals. We show that downside betas of past losers are significantly greater than downside betas of past winners, and the inclusion of downside beta in Fama-Macbeth regressions subsumes the reversal effect.