Long-run reversal
⚠ weakenedLRreversalReversal· Price data
Stock return between months t-36 and t-13.
A recomputed, out-of-sample-scored replication of this factor is available — verdict dormant, OOS Sharpe 0.07.
IS Sharpe (1929–1984)
0.390
+8.8% p.a.
OOS Sharpe (1985–2024)
0.285
+5.0% p.a.
Sharpe decay
+26.9%
(IS − OOS) / |IS|
IS vol
22.6%
annualized
Cumulative return (last 40 years, monthly)
+232%1984-012024-12
Publication details
AuthorsDe Bondt and Thaler
PaperDe Bondt and Thaler (1985)
JournalJournal of Finance
Publication year1985
Original sample1929–1982
IS T-statistic3.29
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