Short-Term Return Reversals and Fund Exits
Abstract
This study investigates short-term return reversals, highlighting the role of active institutional investors in liquidity provision. Using comprehensive equity fund data from Korea, it distinguishes active from passive funds and suggests that reversals tend to be stronger for past losers when active investors reduce their holdings. By contrast, the impact of passive exits on reversals appears limited. Robustness checks confirm that these results are not attributable to alternative explanations such as fire sales or heightened market volatility.
Fields of Study & Subjects
Financial Markets and Investment Strategies
Corporate Finance and Governance
Financial Analysis and Corporate Governance
Publication details
- Journal / source
- Emerging Markets Finance and Trade
- Volume
- 62
- Issue
- 13
- Pages
- 5092–5108
- Publication date
- 9 February 2026
- Language
- EN