Blitz, David; Huij, Joop; Lansdorp, Simon; Verbeek, Marno - In: Journal of Financial Markets 16 (2013) 3, pp. 477-504
Conventional short-term reversal strategies exhibit dynamic exposures to the Fama and French (1993) factors. We develop a novel reversal strategy based on residual stock returns that does not exhibit these exposures and consequently earns risk-adjusted returns that are twice as large as those of...
