This paper examines (i) whether value-growth characteristics have more power than past performance in predicting return reversals; and (ii) whether typical rational behaviour such as incentives to delay paying capital gain taxes can better explain long-term reversals than past performance. We...

We address an important empirical question as to which firm-level characteristic best predicts stock returns in the UK equity market. To answer this question, we employ a semiparametric characteristic-based factor model first introduced by Connor, Hagmann and Linton (2012). We also augment their...

This paper examines (i) whether value-growth characteristics have more power than past performance in predicting return reversals; and (ii) whether typical rational behaviour such as incentives to delay paying capital gain taxes can better explain long-term reversals than past performance. We...