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Quantitative Finance · Glossário

O que é Residual reversal, industry-adjusted reversal?

Também chamado de: residual reversal · industry-adjusted reversal

Definition 2.2 Strategies I: Equities and Futures · Capítulo 2 — Short-Term Reversal

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.

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