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Quantitative Finance · Glossary

What is Short-term reversal?

Definition 2.1 Strategies I: Equities and Futures · Chapter 2 — Short-Term Reversal

Short-term reversal is the tendency of stocks with low returns over a short past window (a day, a week, a month) to outperform, over the next such window, stocks with high returns; a short-term reversal strategy buys the recent losers and sells the recent winners.

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