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- W3122983724 abstract "This study evaluates the long-run reversal effect in the Indian stock market. The empirical findings add convincing evidence in favor of the long-run return reversal effect wherein past long-run loser stocks outperform past long-run winner stocks over longer investment periods, suggesting the profitability of a long-run contrarian strategy. The long-run reversal profits in the Indian market were driven by risk differential among past long-run winner and loser portfolios and can be explained by simultaneously controlling for beta, size, value, and liquidity risk. In a nutshell, the long-run reversal anomaly is not robust under a multifactor asset pricing framework, and the excess profits from long-run loser portfolios are nothing but compensation for the risk held." @default.
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- W3122983724 date "2015-07-01" @default.
- W3122983724 modified "2023-09-23" @default.
- W3122983724 title "The Long-Run Return Reversal Effect: A Re-Examination in the Indian Stock Market" @default.
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