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RePEcAsset Pricing & Factors

Asymmetric Reversals

Positive residual stock shocks reverse slower than negative shocks, and this asymmetric reversal explains short-term predictability better than idiosyncratic volatility alone.

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Featured in No. 139 on 13 Nov 2026 · 4 days after release

Residual reversal timing and monthly aggregation weights
Figure 7: Residual reversal timing and monthly aggregation weights. This figure links spline-implied residual return responses from equation (22) to the monthly aggregation weights derived in equation (C.9). The horizontal axis in both panels is the horizon block since the residual shock; vertical…
Released
9 Nov 2026
First featured
No. 139 · 13 Nov 2026
Published in
Not yet, as far as Semantic Scholar knows
Fanfare
4 of 5
Identifier
RePEc:nbr:nberwo:35840
Authors
Federico Baldi-Lanfranchi et al.

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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