Q&A on Short-Run Reversals with Mamdouh Medhat and Robert Novy-Marx

Dimensional is known for its deep ties to the academic community, allowing the firm to stay at the forefront of financial science. A recent example is the research paper “Reversals and the Returns to Liquidity Provision,” coauthored by Professor Robert Novy-Marx and Dimensional researchers Savina Rizova, Wei Dai, and Mamdouh Medhat. Robert Novy-Marx is a world-renowned academic in the field of asset pricing, with publications in top journals on topics such as profitability, momentum, and transaction costs. In this Q&A, Mamdouh asks the professor for his thoughts on the recent paper, its implications, and the collaboration with Dimensional.

Mamdouh: Robert, thanks for taking the time to do this Q&A on our paper! I’ve put together some questions that I hope will help shed light on the paper’s fndings and implications. So, let’s start with the basics. Short-run reversal is well-known in academic circles but perhaps less so more broadly. Could you define it for us?

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Robert J. Pyle, CFP®, CFA, AEP® founded Diversified Asset Management, Inc., in 1996 to provide personalized, comprehensive wealth management services to successful individuals, families, single women, and business owners. His specialty is addressing the complex financial needs of self-employed professionals, corporate executives, and small-business owners. Our disclosure can be found here. The views, opinion, information, and content provided here are solely those of the respective authors, and may not represent the views or opinions of Diversified Asset Management, Inc. Diversified Asset Management, Inc. cannot guarantee the accuracy or currency of any such third party information or content, and does not undertake to verify or update such information or content. Any such information or other content should not be construed as investment, legal, accounting, or tax advice.