A study by Ball,Kothari and Shanken (1995)examines the reversal effect and finds
A) the reversal effect seems to be concentrated in low-priced shares.
B) the reversal effect is substantially diminished when portfolios are formed based on mid-year performance rather than December results.
C) the risk-adjusted return from trying to exploit the reversal effect is effectively zero.
D) all of these are true.
E) none of these.

Question

Quizplus · Accepted Answer

The study by Ball, Kothari, and Shanken (1995) finds that the reversal effect is concentrated in low-priced shares, and that the effect is diminished when portfolios are formed based on mid-year performance instead of December results. Additionally, the risk-adjusted return from trying to exploit the reversal effect is effectively zero. Therefore, all of options A, B, and C are true.

A Study by Ball,Kothari and Shanken (1995)examines the Reversal Effect