Medium-run reversal
⚠ weakenedMRreversalReversal· Price data
Stock return between months t-18 and t-13.
IS Sharpe (1927–1984)
0.318
+5.4% p.a.
OOS Sharpe (1985–2024)
0.286
+3.5% p.a.
Sharpe decay
+10.1%
(IS − OOS) / |IS|
IS vol
17.1%
annualized
Cumulative return (last 40 years, monthly)
+194%1984-012024-12
Publication details
AuthorsDe Bondt and Thaler
PaperDe Bondt and Thaler (1985)
JournalJournal of Finance
Publication year1985
Original sample1933–1980
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