Short-Term Reversals: The Effects of Past Returns and Institutional Exits
研究发现，上季度股价下跌会导致随后两个月更强的反转效应，原因是流动性提供者在过去亏损股票中参与减少，机构投资者的活跃度变化解释了这一现象。
Price declines over the previous quarter lead to stronger reversals across the subsequent 2 months. We explain this finding based on the dual notions that liquidity provision can influence reversals and that agents who act as de facto liquidity providers may be less active in past losers. Supporting these observations, we find that active institutions participate less in losing stocks and that the magnitude of monthly return reversals fluctuates with changes in the number of active institutional investors. Thus, we argue that fluctuations in liquidity provision with past return performance account for the link between return reversals and past returns.