A closer look at the short-term return reversal

Management Science

Volumn 60, Issue 3, 2014, Pages 658-674

  Da, Zhi ^a   Liu, Qianqiu ^b   Schaumburg, Ernst ^c  

^a UNIVERSITY OF NOTRE DAME   (United States)

^b UNIVERSITY OF HAWAII   (United States)

^c FEDERAL RESERVE BANK OF NEW YORK   (United States)

Author keywords

Fundamental news; Liquidity; Sentiment; Short term return reversal

Indexed keywords

INVESTMENTS;

FORECAST REVISION; FUNDAMENTAL NEWS; INVESTOR SENTIMENTS; LIQUIDITY; RETURN REVERSALS; RISK-ADJUSTED; SENTIMENT; STOCK RETURNS;

RISK ASSESSMENT;

EID: 84897046674     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.2013.1766     Document Type: Article

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