17-11-2011 · Investigación

Short-term residual reversal

Conventional short-term reversal strategies exhibit dynamic exposures to the Fama and French (1993) factors. We develop a novel reversal strategy based on residual stock returns that does not exhibit these exposures and consequently earns risk-adjusted returns that are twice as large as those of a conventional reversal strategy.

    Autores/Autoras

  • Joop Huij - PhD, Head of Sustainable Index Solutions

    Joop Huij

    PhD, Head of Sustainable Index Solutions

  • Simon Lansdorp - PhD, Portfolio Manager Sustainable Index Solutions

    Simon Lansdorp

    PhD, Portfolio Manager Sustainable Index Solutions

  • David Blitz - Chief Researcher

    David Blitz

    Chief Researcher

Manténgase al día de las últimas perspectivas sobre inversión cuantitativa

Receive our Robeco newsletter and be the first one to get the latest insights, or build the greenest portfolio.

Manténgase al día