Financial Markets and Investment Strategies
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Abstract
Abstract
Short-term reversal appears to have weakened in international equity markets because standard measures mix firm-specific and industry-wide returns. When evaluated relative to industry peers, the reversal persists. Using data from 64 countries, the conventional strategy delivers negligible returns, whereas an industry-adjusted strategy earns 0.53% per month with a Sharpe ratio of 0.74. The effect reflects the reversal of firm-specific shocks masked by persistent industry components. A regret-based signal captures the same industry-relative variation, adding no incremental return. Reversal did not disappear; it was mismeasured.
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@article{Stosik2026Short,
title = {Short-term reversal persists globally—If properly measured},
author = {Jan Stosik and Adam Zaremba},
journal = {Economics Letters},
year = {2026},
doi = {10.1016/j.econlet.2026.113113},
url = {https://doi.org/10.1016/j.econlet.2026.113113}
}FAQ
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