Evidence of Predictable Behavior of Security Returns
BeginnerLFTEmpiricalTestable with your data
One-month return reversal: last month's losers beat last month's winners next month. The short-term reversal effect.
At a glance
- Level
- Beginner: No prior microstructure or stochastic calculus needed
- Horizon
- LFT
- Data needed
- Daily bars Set what data you have
- Themes
- Stat arbFactors & momentum
- Assets
- Equities
- Market
- US