When Is Reversal Strong? Evidence from Developed Markets
分析了五个发达市场的反转策略，发现无条件反转仅在德国和日本持续，但考虑流动性提供成本后反转收益增强，且与市场波动性密切相关。
This article analyzes the reversal strategy for the five most capitalized developed markets using portfolio analysis and the Fama–Macbeth (FM) regression method. The results of the portfolio analysis showed that the unconditional reversal strategy is persistent only for Germany and Japan. After testing the strategy on firms with higher expected costs of liquidity provision, however, the reversal returns become stronger across all markets. Nevertheless, the strongest support for the reversal strategy was found using the FM methodology while controlling for notable firm-related characteristics. Importantly, the reversal returns were strongly related to market volatility, which proxies for periods when the cost of provision of market liquidity is higher.