Category: Research Short-Term Reversal Factor

This paper by Asness, Porter & Stevens (2000) examines return measures when explanatory variables into two industry-related components; within-industry variables and across-industry variables.  This paper helps explain why Atlas uses short-term momentum within sectors, but short-term reversal within individual securities.  It also elucidates the rationale for scoring momentum and value “within” sectors rather than across them.

Read About Optimal Exercise Strategies for Employee Stock Options

Zhi Da, Qianqiu Liu, and Ernst Schaumburg (2013) detail the empirical reasoning behind the observation that stocks that have done VERY poorly over a short term horizon, tend to do better over the subsequent periods.