Long-term reversal and contrarian investing
Enter past loser/winner returns, next-period basket assumptions and costs to inspect a contrarian spread.

The idea · in two minutes

How do assumed future returns compare for long-term losers and winners?

Long-term reversal buys stocks with poor multi-year past returns and shorts prior winners. De Bondt and Thaler connect it to investor overreaction; later work points to long-run risk premia, intangible returns and small-stock effects. Formation windows, skipping recent months, delistings and costs all affect results.

Enter past loser/winner returns, next-period basket assumptions and costs to inspect a contrarian spread.

Multi-year reversal is not a forecast for every stock; microcap liquidity and survivorship are key limitations.

• Signal metricEnter past loser/winner returns, next-period basket assumptions and costs to inspect a contrarian spread.
• Return scenarioMulti-year reversal is not a forecast for every stock; microcap liquidity and survivorship are key limitations.

Illustrative research examples only. They are not live signals or a recommendation.

The mechanics · payoff and exposure

R_{LS,t+1}=R_{past\ losers,t+1}-R_{past\ winners,t+1}-C

Past losers/winners are ranked over a formation window; future returns and costs are user scenario inputs.

Greeks: the directional intuition

資料時點

Measures sensitivity to implied volatility.

模型風險

Measures sensitivity to implied volatility.

執行成本

Measures sensitivity to implied volatility.

R_{LS,t+1}=R_{past\ losers,t+1}-R_{past\ winners,t+1}-C

Practical context · published observations

Long-term reversal and contrarian investing: read the record with its caveats.

The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.

Multi-year reversal is not a forecast for every stock; microcap liquidity and survivorship are key limitations. Source ↗ · Methodology ↗