328期 7月19日 ：Short-Term Return Reversal: The Long and the Short of It（刘千秋 副教授, Shidler College of Business, University of Hawaii）

【主讲】刘千秋 副教授 (Shidler College of Business, University of Hawaii)

【主题】Short-Term Return Reversal: The Long and the Short of It

【时间】2012年7月19日 (周四) 15：30-17：00

【地点】上海财经大学经济学院楼801室

【语言】英文

【摘要】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 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. We argue that isolating the component of past returns not driven by fundamentals provides a cleaner setting for testing existing theories of short-term reversals. We find that the reversal profits are primarily driven by investor sentiment on the short side and liquidity shocks on the long side.