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// constructs / mean_reversion_etm

Mean Reversion

id: mean_reversion_etm

The tendency for asset prices or returns to revert toward a long-run average after extreme moves. DeBondt and Thaler (1985) documented 3-5 year reversal in stock returns. Contrasts with short-term momentum. Basis of contrarian investing and pairs trading.

// usage

Used in 1 pax

↓ negative relationship 3 findings