Zhang, Bing; Zhou, Yun - In: European Journal of Operational Research 241 (2015) 3, pp. 749-762
This paper analyzes three major asymmetries in stock markets, namely, asymmetry in return reversals, asymmetry in return persistency and asymmetry in return volatilities. It argues for a case of return persistency as stock returns do not always reverse, in theory and in practice. Patterns in...