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An Examination Of The Short Term Reversal Premium, Timothy Burgess

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The intent of this study is to explore short-term reversal effects in public securities markets.

The basis of this study is to take into consideration prior work done by economists, paying particularly attention to periods specifically before and after the decimalization of the stock market in 2001. This study finds that from years 1980-2000, there is a monthly return premium of -0.0552% or 5.5 basis points, which is quite significant with a t-statistic of 11.08. Following decimalization in 2001 through year 2012, this monthly return premium drops 44% to -0.031% or 3.1 basis points, again with a high t-statistic of …