Industries and Stock Return Reversals
研究发现月度收益中存在显著的行业内反转效应，其幅度大于传统市场组合反转，且在大盘股和流动性高的股票中也持续存在，由订单不平衡和非信息冲击驱动，在市场下跌和波动期更强。
Abstract This paper documents pervasive evidence of intra-industry reversals in monthly returns. Unlike the conventional reversal strategy based on stock returns relative to the market portfolio, we document intra-industry return reversals that are larger in magnitude, consistently present over time, and prevalent across subgroups of stocks, including large and liquid stocks. These return reversals are driven by order imbalances and noninformational shocks. Consistent with reversals representing compensation for supplying liquidity, intra-industry reversals are stronger following aggregate market declines and volatile times, reflecting binding capital constraints and limited risk-bearing capacity of liquidity providers.