Reversal returns and expected returns from liquidity provision: Evidence from emerging markets

Hilal Anwar Butt, Kenneth Högholm, Mohsin Sadaqat

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

Sammanfattning

In this study, we document, for a number of emerging markets, that positive returns can be obtained using a short-term reversal strategy. These returns are higher for small and illiquid firms, and highest for more volatile firms. Overall, the reversal strategy-based alphas are significant when accessed through different asset pricing models. Our results provide, however, an important unexplored explanation; the reversal return is higher, irrespective of firm characteristics, when market volatility is high, and pronounced for the stocks that witness higher active investor exits. These findings reconcile with the notion that the reversal returns proxy the expected returns from liquidity provision in adverse times.

OriginalspråkEngelska
Artikelnummer100664
Referentgranskad vetenskaplig tidskriftJournal of Multinational Financial Management
Volym59
Antal sidor24
ISSN1042-444X
DOI
StatusPublicerad - 03.2021
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 512 Företagsekonomi

Styrkeområden och områden med hög potential (AoS och AoHP)

  • AoS: Finansiering, redovisning och företagsstyrning

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