Identifying inconsistency in short-term reversal: evidence from the Chinese stock market

References

• Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.” Journal of Financial Markets 5: 31–56. doi:10.1016/S1386-4181(01)00024-6.
   Web of Science ®Google Scholar
• Ball, R., and P. Brown. 1968. “An Empirical Evaluation of Accounting Income Numbers.” Journal of Accounting Research 6: 159–178. doi:10.2307/2490232.
   Web of Science ®Google Scholar
• Bouchaud, J. P., P. Krueger, A. Landier, and D. Thesmar. 2019. “Sticky Expectations and the Profitability Anomaly.” The Journal of Finance 74 (2): 639–674. doi:10.1111/jofi.12734.
   Web of Science ®Google Scholar
• Campbell, J. Y., S. J. Grossman, and J. Wang. 1993. “Trading Volume and Serial Correlation in Stock Returns.” The Quarterly Journal of Economics 108: 905–939. doi:10.2307/2118454.
   Web of Science ®Google Scholar
• Cheng, S., A. Hameed, A. Subrahmanyam, and S. Titman. 2017. “Short-Term Reversals: The Effects of Past Returns and Institutional Exits.” Journal of Financial and Quantitative Analysis 52: 143173. doi:10.1017/S0022109016000958.
   Web of Science ®Google Scholar
• Chiang, I.-H.-E., C. Kirby, and Z. Z. Nie. 2021. “Short-Term Reversals, Short-Term Momentum, and News-Driven Trading Activity.” Journal of Banking & Finance 125: 106068. doi:10.1016/j.jbankfin.2021.106068.
   Web of Science ®Google Scholar
• Cohen, L., and A. Frazzini. 2008. “Economic Links and Predictable Returns.” The Journal of Finance 63 (4): 1977–2011. doi:10.1111/j.1540-6261.2008.01379.x.
   Web of Science ®Google Scholar
• Cohen, L., and D. Lou. 2012. “Complicated Firms.” Journal of Financial Economics 104 (2): 383–400. doi:10.1016/j.jfineco.2011.08.006.
   Web of Science ®Google Scholar
• Coibion, O., and Y. Gorodnichenko. 2015. “Information Rigidity and the Expectations Formation. Process: A Simple Framework and New Facts.” The American Economic Review 105 (8): 2644–2678. doi:10.1257/aer.20110306.
   Web of Science ®Google Scholar
• Cooper, M. 1999. “Filter Rules Based on Price and Volume in Individual Security Overreaction.” The Review of Financial Studies 12: 901–935. doi:10.1093/rfs/12.4.901.
   Web of Science ®Google Scholar
• Da, Z., Q. Liu, and E. Schaumburg. 2014. “A Closer Look at the Short-Term Return Reversal.” Management Science 60: 658–674. doi:10.1287/mnsc.2013.1766.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2006. “Profitability, Investment and Average Returns.” Journal of Financial Economics 82 (3): 491–518. doi:10.1016/j.jfineco.2005.09.009.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 2015. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22. doi:10.1016/j.jfineco.2014.10.010.
   Web of Science ®Google Scholar
• Fama, E., and J. MacBeth. 1973. “Risk, Return, and Equilibrium: Empirical Tests.” The Journal of Political Economy 81: 607–636. doi:10.1086/260061.
   Web of Science ®Google Scholar
• Hameed, A., and G. M. Mian. 2015. “Industries and Stock Return Reversals.” Journal of Financial and Quantitative Analysis 50: 89–117. doi:10.1017/S0022109014000404.
   Web of Science ®Google Scholar
• Haugen, R. A., and N. L. Baker. 1996. “Commonality in the Determinants of Expected Stock Returns.” Journal of Financial Economics 41 (3): 401–439. doi:10.1016/0304-405X(95)00868-F.
   Web of Science ®Google Scholar
• Jegadeesh, N. 1990. “Evidence of Predictable Behavior of Security Returns.” The Journal of Finance 45: 881–898. doi:10.1111/j.1540-6261.1990.tb05110.x.
   Web of Science ®Google Scholar
• Jegadeesh, N., and S. Titman. 1995. “Short-Horizon Return Reversals and the Bid-Ask Spread.” The Journal of Finance, Intermediation 4: 116–132. doi:10.1006/jfin.1995.1006.
   Web of Science ®Google Scholar
• Kim, J. B., L. Li, Z. Yu, and H. Zhang. 2019. “Local versus Non-Local Effects of Chinese Media and Post-Earnings Announcement Drift.” Journal of Banking & Finance 106: 82–92. doi:10.1016/j.jbankfin.2019.05.008.
   Web of Science ®Google Scholar
• Lehmann, B. 1990. “Fads, Martingales and Market Efficiency.” The Quarterly Journal of Economics 105: 1–28. doi:10.2307/2937816.
   Web of Science ®Google Scholar
• Medhat, M., and M. Schmeling, 2018. Dissecting Announcement Returns. SSRN: https://ssrn.com/abstract=3068639
   Google Scholar
• Nagel, S. 2012. “Evaporating Liquidity.” The Review of Financial Studies 25 (2012): 2005–2039. doi:10.1093/rfs/hhs066.
   Google Scholar
• Newey, W. K., and K. D. West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity And. Autocorrelation Consistent Covariance Matrix.” Econometrica 55: 703–708. doi:10.2307/1913610.
   Web of Science ®Google Scholar
• Novy-Marx, R. 2013. “The Other Side of Value: The Gross Profitability Premium.” Journal of Financial Economics 108 (1): 1–28. doi:10.1016/j.jfineco.2013.01.003.
   Web of Science ®Google Scholar
• Piotroski, J. D. 2000. “Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers.” Journal of Accounting Research 38: 1–41. doi:10.2307/2672906.
   Web of Science ®Google Scholar
• Piotroski, J. D., and E. C. So. 2012. “Identifying Expectation Errors in Value/glamour Strategi-Es: A Fundamental Analysis Approach.” The Review of Financial Studies 25 (9): 2841–2875. doi:10.1093/rfs/hhs061.
   Web of Science ®Google Scholar
• Subrahmanyam, A. 2005. “Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns.” Financial Review 40 (1): 11–35. doi:10.1111/j.0732-8516.2005.00091.x.
   Google Scholar
• Zhu, Z., L. Sun, and M. Chen. 2019. “Fundamental Strength and Short-Term Return Reversal.” Journal of Empirical Finance 52: 22–39. doi:10.1016/j.jempfin.2019.02.006.
   Web of Science ®Google Scholar