---
title: Asymmetric Reversals
url: https://www.ml-quant.com/papers/repec/nbr-nberwo-35840/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-11-14
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:nbr:nberwo:35840
source_url: https://econpapers.repec.org/RePEc:nbr:nberwo:35840
featured: 2026-11-13
citations: unknown
topic: Asset 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.

- Source: https://econpapers.repec.org/RePEc:nbr:nberwo:35840
- Identifier: RePEc:nbr:nberwo:35840
- Released: 2026-11-09
- First featured: Quant Letter No. 139 (2026-11-13): https://www.ml-quant.com/issues/2026-11-13/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors
- Authors: Federico Baldi-Lanfranchi, Pierre Collin-Dufresne, Kent D. Daniel

## Related

- [FactorBench: A Portfolio-Aware Benchmark for Automated Factor Mining](https://www.ml-quant.com/papers/arxiv/2610.06947/): A portfolio-aware benchmark comparing five thousand factors from nine automated mining methods across five equity markets finds that no discovery paradigm consistently dominates in signal quality or portfolio performance.
- [Interpretable Machine Learning for Asset Pricing](https://www.ml-quant.com/papers/ssrn/4473746/): The paper utilizes deep neural networks to more accurately estimate equity risk premia over time, enhancing the interpretability of machine learning in economics.
- [The Cross-Section of Factor Returns](https://www.ml-quant.com/papers/ssrn/4441376/): Most of the 150 equity factors examined show positive returns but fail to deliver excess returns after accounting for risk, especially in downturns.
- [Are Penalty Shootouts Better Than a Coin Toss? Evidence From International Club Football in Europe](https://www.ml-quant.com/papers/arxiv/2510.17641/): Using UEFA penalty shootout data (2000–2025) we find outcomes are essentially random—no measurable advantage from kicking order, venue, momentum, or team strength.
- [Optimal Investment and Consumption in a Stochastic Factor Model](https://www.ml-quant.com/papers/arxiv/2509.09452/): The article discusses optimal investment and consumption in an incomplete stochastic factor model, offering a comprehensive characterization of the problem's well-posedness and an efficient numerical algorithm for computing the value function.
- [Model complexity and the performance of global versus regional models](https://www.ml-quant.com/papers/ssrn/5241880/): Complex algorithms in global models outperform regional models in cross-sectional asset pricing, contradicting previous studies favoring regional methods.