Short-term reversal and liquidity provision
Enter prior loser/winner moves, next-period return assumptions and costs to inspect a reversal scenario.

The idea · in two minutes

Do assumed next-period returns reverse the prior loser/winner spread?

Short-term reversal typically buys recent weekly or monthly losers and shorts winners. Research attributes part of the effect to liquidity provision and correction of short-lived price pressure. Turnover, bid/ask spreads, asynchronous closes and extreme events can consume gross returns. Its horizon and mechanism differ from medium-term momentum.

Enter prior loser/winner moves, next-period return assumptions and costs to inspect a reversal scenario.

High-turnover reversal is very sensitive to spreads and fees; gaps or major news can delay or erase a reversal.

• Signal metricEnter prior loser/winner moves, next-period return assumptions and costs to inspect a reversal scenario.
• Return scenarioHigh-turnover reversal is very sensitive to spreads and fees; gaps or major news can delay or erase a reversal.

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

The mechanics · payoff and exposure

R_{contrarian}=R_{next,loser}-R_{next,winner}-C

Prior losers/winners are sorted over the recent window; next-period returns are scenarios, not inferred from past returns.

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_{contrarian}=R_{next,loser}-R_{next,winner}-C

Practical context · published observations

Short-term reversal and liquidity provision: 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.

High-turnover reversal is very sensitive to spreads and fees; gaps or major news can delay or erase a reversal. Source ↗ · Methodology ↗