AVRAMOV, DORON; CHORDIA, TARUN; GOYAL, AMIT - In: Journal of Finance 61 (2006) 5, pp. 2365-2394
This paper documents a strong relationship between short-run reversals and stock illiquidity, even after controlling for trading volume. The largest reversals and the potential contrarian trading strategy profits occur in high turnover, low liquidity stocks, as the price pressures caused by...