Short term reversal
✓ aliveSTreversalOther· Price data
Stock return (ret) over the previous month.
A recomputed, out-of-sample-scored replication of this factor is available — verdict decayed, OOS Sharpe 1.29.
IS Sharpe (1926–1989)
1.864
+41.4% p.a.
OOS Sharpe (1990–2024)
0.744
+19.8% p.a.
Sharpe decay
+60.1%
(IS − OOS) / |IS|
IS vol
22.2%
annualized
Cumulative return (last 40 years, monthly)
+161292%1984-012024-12
Publication details
AuthorsJegadeesh
PaperJegadeesh (1990)
JournalJournal of Finance
Publication year1990
Original sample1934–1987
IS T-statistic12.44
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