Residual reversal is short-term reversal computed on residual returns, the part of each stock’s return that its factor exposures do not explain. Industry-adjusted reversal is reversal computed on each stock’s return in excess of its industry’s average return.
Quantitative Finance · Begrippenlijst
Wat is Residual reversal, industry-adjusted reversal?
Ook bekend als: residual reversal · industry-adjusted reversal