Finance academics who documented short-term return reversals

Narasimhan Jegadeesh & Bruce N. Lehmann

Narasimhan Jegadeesh, Dean's Distinguished Chair of Finance at Emory University's Goizueta Business School (PhD, Columbia), showed one-month return reversals in the Journal of Finance in 1990. Bruce N. Lehmann (PhD, University of Chicago, 1983), professor of economics and finance at UC San Diego until his death in 2018, showed weekly reversals in the Quarterly Journal of Economics the same year.

What they argue

Short-horizon returns reverse: last week's (Lehmann) or last month's (Jegadeesh) losers tend to beat last period's winners in the next period.
Lehmann found that buying last week's losers and selling last week's winners made money in each of 49 six-month periods from 1962 to 1986, which he read as an inefficiency in supplying liquidity around large price moves.

Sources

Emory Goizueta: Narasimhan Jegadeesh UC San Diego GPS: Bruce Lehmann RePEc/IDEAS: Lehmann, QJE 105(1), 1990 NBER Working Paper 2533: Fads, Martingales, and Market Efficiency

Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.

Books and papers

Jegadeesh: Evidence of Predictable Behavior of Security Returns, Journal of Finance 45(3): 881-898 (1990)
Lehmann: Fads, Martingales, and Market Efficiency, Quarterly Journal of Economics 105(1): 1-28 (1990)

The full reading list

Short-term reversal (last month's laggard)

Rule and full record

Mean reversion · month-end

Last month's laggards tend to bounce the next month. Hold the stock for the month after one in which it trailed SPY.

Calls right59%40,566 closed calls on 377 stocks.

Beat buy and hold (Sharpe)79 of 375On raw return: 57 of 375.

In right now255 of 377As of the Oct 13, 2026 close.

Best risk-adjusted results against buy and hold:

NAMMIN BBUCIN WFGOUT PMZ.UNOUT PETIN RCHOUT CURAOUT NPCEIN SEAIN MDLZIN GFLOUT HTZIN All 377 stocks →