Short-term reversal in equities
12 papers on short-term reversal in equities as a systematic trading strategy. Short-term reversal papers on single stocks and equity indices: 12 of the 17 in short-term reversal. 7 name a method, most often linear factor models (6). The most cited is Momentum – Reversal Strategy (2010).
Papers122002–2026
Share of the family71 %12 of 17
| cited by | method | ||
|---|---|---|---|
| Momentum – Reversal Strategy by Yu and Chen | 4 | Linear factor models | 2010 |
| Are Contrarian Investment Strategies Profitable in the London Stock Exchange? Where Do These Profits Come from? by Antoniou et al. | 4 | Linear factor models | 2003 |
| Investing in Stock Market Anomalies by Bali et al. | 3 | 2011 | |
| On the Profitability of Optimal Mean Reversion Trading Strategies by Huang and Wang | 1 | 2016 | |
| A Hybrid Momentum-contrarian Portfolio Strategy: Evidence from U.S. Equity Indices (2004-2024) by Hoseini | 0 | Linear factor models | 2026 |
| Impact of Quantitative Trading Strategies on Portfolio Performance during Market Volatility: Evidence from Indian Markets by Srivastava | 0 | Classical time series | 2026 |
| Reversal Anomaly in a Retail-Dominated Market and a Forward Bias Audit of Public Financial Data: Empirical Evidence and Methodological Contributions from the Beijing Stock Exchange by Zhang | 0 | Linear factor models | 2026 |
| Short-term Reversal in Chinese A-Shares: Statistical Predictability, Economic Tradability, and Multiple Testing by Fang and Wang | 0 | Linear factor models | 2026 |
| Efficacy of a Mean Reversion Trading Strategy Using True Strength Index by Requejo | 0 | 2024 | |
| Short-Term Reversal Profits and Dynamic Factor Exposures by Blitz et al. | 0 | Linear factor models | 2011 |
| Does Time Variation in Systematic Risk Affect the Profitability of Contrarian Investment Strategies? by Antoniou et al. | 0 | 2002 | |
| Trading Strategy Performance When Using Value at Risk or Expected Shortfall as a Risk Constraint by Visaltanachoti and Yan | 0 | 2002 |
Papers on short-term reversal in equities from other families
10 papers| filed under | ||
|---|---|---|
| An Auto-Residual Factor Model by Alkshaik | Size premium | 2025 |
| End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture by Krause and Calliess | Pairs trading and statistical arbitrage | 2024 |
| Contrarian and Momentum Investment Strategies in Pakistan Stock Exchange by Shah and Shah | Momentum and trend following | 2017 |
| Optimality of Momentum and Reversal by He et al. | Momentum and trend following | 2014 |
| Physical approach to price momentum and its application to momentum strategy by Choi | Momentum and trend following | 2014 |
| Academic Knowledge Dissemination in the Mutual Fund Industry: Can Mutual Funds Successfully Adopt Factor Investing Strategies? by van Gelderen and Huij | Factor investing | 2013 |
| Three Essays on Momentum Returns by Cheema | Momentum and trend following | 2013 |
| Comparison in Measuring Effectiveness of Momentum and Contrarian Trading Strategy in Indonesian Stock Exchange by Luxianto | Momentum and trend following | 2010 |
| Empirical Investigation of an Equity Pairs Trading Strategy by Chen et al. | Pairs trading and statistical arbitrage | 2009 |
| Profitability of Contrarian vs Momentum Strategies: Evidence from the Istanbul Stock Exchange by Bildik and Gülay | Momentum and trend following | 2002 |