Reversal returns and expected returns from liquidity provision: Evidence from emerging markets

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2021-03-01 DOI:10.1016/j.mulfin.2020.100664

Hilal Anwar Butt , Kenneth Högholm , Mohsin Sadaqat

引用次数: 0

Abstract

In this study, we document, for a number of emerging markets, that positive returns can be obtained using a short-term reversal strategy. These returns are higher for small and illiquid firms, and highest for more volatile firms. Overall, the reversal strategy-based alphas are significant when accessed through different asset pricing models. Our results provide, however, an important unexplored explanation; the reversal return is higher, irrespective of firm characteristics, when market volatility is high, and pronounced for the stocks that witness higher active investor exits. These findings reconcile with the notion that the reversal returns proxy the expected returns from liquidity provision in adverse times.

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流动性供给的逆转回报和预期回报:来自新兴市场的证据

在本研究中，我们证明，对于一些新兴市场，可以使用短期反转策略获得正回报。小公司和流动性差的公司的回报率更高，波动性更大的公司的回报率最高。总的来说，当通过不同的资产定价模型访问时，基于反转策略的阿尔法是显著的。然而，我们的结果提供了一个重要的未被探索的解释;无论公司特征如何，当市场波动率高时，反转收益更高，对于那些见证了更多积极投资者退出的股票来说，这一点很明显。这些发现与这样一种观点相一致，即逆转回报代表了不利时期流动性供应的预期回报。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.