Research / Cross-sectional

Short-term reversal

Names that moved sharply over a short window give some of it back relative to peers.

The idea

Names that moved sharply over a short window tend to give some of it back relative to their peers.

Why it might exist

Demand for immediate liquidity pushes price past fair value, and it recovers as liquidity returns.

Who is on the other side

Those who need immediate execution and pay for it.

What would retire it

Reversal is explained by a tilt in the market, or disappears after cost.