Glamour unwind

Bearish

Expensive + strong momentum + shorts building + accruals deteriorating. Glamour stock about to mean-revert.

PRIMARY SOURCE
Lakonishok-Shleifer-Vishny 1994
Chan-Karceski-Lakonishok 2003
TYPICAL HORIZON
6-18 months
FACTORS USED
momentumvalueshort_interestaccruals

What it means

A momentum-and-story stock at stretched valuation, where sophisticated shorts are adding to positions and the accounting is starting to show accruals deterioration. The combination predicts multi-year underperformance.

Why it works

LSV 1994 glamour side: the most expensive quintile with the best recent performance underperforms the market by 10-15% annually over multi-year horizons. CKL 2003 adds that the "mean reversion" for glamour is gradual, not sudden — tends to be a 24-36 month drift.

Watch out

Timing is the hard part. Glamour stocks can keep running for many months before unwinding. The pattern is more useful as a position-sizing guide (don't go heavy long) than a short-selling trigger.

Live matches

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Disclaimer. Pattern matches are research signals, not investment advice. Past performance of an academic effect does not guarantee future returns. Forward-return tracking for DeepVane's own implementation begins 2026-05-16 after the calibration window closes.