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Behind the Markets Podcast: Robert Novy-Marx

Behind the Markets Podcast

CHAPTER

Reversals and Liquidity Provisions

This chapter explores the concept of reversals in stock prices and the role of liquidity in determining their strength and duration. The speakers discuss how news and earnings announcements can affect standard reversal strategies and propose a cleaner measure that excludes news-related factors. They also highlight the implications of this research for practitioners in terms of minimizing transaction costs and implementing effective strategies.

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