The one-month return reversal in equity prices was first documented by Jedadeesh (1990), who found that there was a highly significant negative serial correlation in the monthly return series of stocks. This is in contrast to the positive serial correlation of the annual stock returns. Explanations for this effect differ, but the general consensus has been that the trailing one-month return includes a component of overreaction by investors. Since 1990, the one-month return reversal effect has decayed substantially, which has led others to refine it. Asness,...