Reversing the Trend of Short-Term Reversal
研究发现经典短期反转效应已消失，但通过对抗行业和因子收益的短期动量可复活该策略，增强版策略风险调整后收益翻倍，其溢价源于供需暂时失衡，投资者实际充当流动性提供者。
The classic short-term reversal effect has steadily weakened over time to the point of now having vanished entirely in most regions. The strategy, however, can be revived by countering its tendency to go against short-term momentum in industry and factor returns. Enhanced short-term reversal strategies show a higher return with lower risk and have remained effective over time, culminating in more than double the risk-adjusted performance. Implementation challenges can best be overcome by combining short-term reversal with other short-term alpha signals. Various features of the short-term reversal strategy indicate that the premium stems from temporary imbalances between supply and demand. Investors in the strategy therefore effectively act as liquidity providers, contributing to a more efficient functioning of capital markets.