Another Look at Trading Costs and Short-Term Reversal Profits PoorSatisfactoryGoodVery GoodExcellent Be the first. (0 ratings) Log in to rate this article. CFA Digest August 2012 | Vol. 42 | No. 3 Source: CFA InstituteWilma de Groot, CFA Joop Huij Weili Zhou, CFAKeith Joseph MacIsaac, CFA (Reviewer) Abstract Previous studies have attributed the short-term reversal anomaly, which is eliminated once transaction costs are included, to liquidity imbalances among stocks. The authors refute this view by finding excess profits after including trading costs for larger-cap stocks in the United States and, to a lesser degree, in Europe. They also evaluate the accepted trading cost models and discover shortcomings that can invalidate some conclusions. View more information Topics Portfolio Management : Equity Portfolio Management Strategies · Execution of Portfolio Decisions (Trading) · Portfolio Construction and Revision Credits · About the CE Program 0 CE (including 0 SER) Record credits Credits recorded Members, log in to record your credits. Manage CE Credits People who viewed this page also viewed: Top Hedge Fund Investors: Stories, Strategies, and Advice This book chronicles top hedge fund investors that played key roles in the industry, including substantial information on manager sourcing, ... More Loading ...