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dc.contributor.authorWu, Yuliang
dc.contributor.authorMazouz, Khelifa
dc.date.accessioned2016-06-22T12:13:10Z
dc.date.available2016-06-22T12:13:10Z
dc.date.issued2016-07-01
dc.identifier.citationWu Y and Mazouz K (2016) Long-Term Industry Reversals. Journal of Banking and Finance, 68: 236-250.en_US
dc.identifier.urihttp://hdl.handle.net/10454/8530
dc.descriptionYesen_US
dc.description.abstractThis study investigates whether, how and why industry performance can drive long-term return reversals. Using data from the UK, we find that firms in losing industries significantly outperform those in winning industries over the subsequent five years. These industry reversals remain strong and persistent after controlling for stock momentum, industry momentum, seasonal effects and traditional risk factors. We find a strong influence of past industry performance on stock return reversals. Our results also show that past industry performance is the driving force behind long-term reversals. Specifically, we find that industry components drive stock reversals, while past stock performance does not explain industry reversals. Further analysis suggests that industry reversals are present in both good and bad states of the economy and are stronger in industries with high valuation uncertainty. This implies that industry reversals are more likely to be a result of mispricing.en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttp://dx.doi.org/10.1016/j.jbankfin.2016.03.017en_US
dc.subjectContrarian performanceen_US
dc.subjectIndustry
dc.subjectLong term
dc.titleLong-Term Industry Reversalsen_US
dc.status.refereedYesen_US
dc.date.Accepted2016-03-28
dc.typeArticleen_US
dc.type.versionAccepted manuscripten_US
refterms.dateFOA2019-02-14T14:07:58Z


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