Short-Term Reversal and the Frequency of Time-Series
30 Pages Posted: 17 Jun 2019 Last revised: 20 Nov 2019
Date Written: March 5, 2019
We show that the presence of short-term overreaction in a stock price could make estimates of the conditional moments of stock returns be strongly affected by the frequency of time series. This conclusion implies that the other measures of stock returns, such as the conditional Sharpe ratio, its standard deviation, stock's conditional alpha and beta could also be strong functions of measuring frequency.
Keywords: Reversal; high frequency data; estimates of stock return
JEL Classification: C01, C15, C18, C22, C83
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