Short-Term Reversal and the Frequency of Time-Series

30 Pages Posted: 17 Jun 2019 Last revised: 20 Nov 2019

See all articles by Sergey Isaenko

Sergey Isaenko

Concordia University, Quebec - Department of Finance

Date Written: March 5, 2019

Abstract

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

Suggested Citation

Isaenko, Sergey, Short-Term Reversal and the Frequency of Time-Series (March 5, 2019). Available at SSRN: https://ssrn.com/abstract=3399539 or http://dx.doi.org/10.2139/ssrn.3399539

Sergey Isaenko (Contact Author)

Concordia University, Quebec - Department of Finance ( email )

John Molson School of Business
Concordia University. 1455 de Maisonneuve Blvd.W.
Montreal, Quebec, H3G 1M8
Canada
1-514-848-2424 ext.2797 (Phone)
1-514-848-4500 (Fax)

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