A Historical Perspective on the International Evidence for Long-Term Reversals

61 Pages Posted: 23 Mar 2009

Date Written: March, 18 2009

Abstract

This paper reexamines the international long-term reversal evidence. Using a longer time horizon and expanding the number of country indices, it is shown that long-term reversals results differ across methodology, start date, and time horizon. Due to the fact that the major international equity data sets start around the same time, a small period of years accounts for the strong long-term contrarian profits documented in the international literature. More importantly, the long-term contrarian profits do not survive when transaction costs are considered. A final implication of this research is that the international tests based on US-dollar denominated data may not capture the experience of the marginal investor.

Keywords: Behavioral finance, long-term reversals, market efficiency

JEL Classification: G12, G13, G14, G22

Suggested Citation

Jordan, Steven J., A Historical Perspective on the International Evidence for Long-Term Reversals (March, 18 2009). Available at SSRN: https://ssrn.com/abstract=1364645 or http://dx.doi.org/10.2139/ssrn.1364645

Steven J. Jordan (Contact Author)

Econometric Solutions ( email )

3520 Fossil Park Dr.
Fort Worth, TX NA 76137
United States

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