A Closer Look at the Short-Term Return Reversal
研究发现，由基本面（如现金流新闻）无法解释的股票收益更易短期反转。通过分析师预测修正衡量现金流新闻，增强反转策略的经风险调整收益是标准策略的四倍，并揭示流动性冲击和投资者情绪分别从多头和空头侧驱动反转。
Stock returns unexplained by “fundamentals,” such as cash flow news, are more likely to reverse in the short run than those linked to fundamental news. Making novel use of analyst forecast revisions to measure cash flow news, a simple enhanced reversal strategy generates a risk-adjusted return four times the size of the standard reversal strategy. Importantly, isolating the component of past returns not driven by fundamentals provides a cleaner setting for testing existing theories of short-term reversals. Using this approach, we find that both liquidity shocks and investor sentiment contribute to the observed short-term reversal, but in different ways: Specifically, the reversal profit is attributable to liquidity shocks on the long side because fire sales more likely demand liquidity, and it is attributable to investor sentiment on the short side because short-sale constraints prevent the immediate elimination of overvaluation. This paper was accepted by Brad Barber, finance.