{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T12:37:42Z","timestamp":1793104662919,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper examines daily mean reversion across six major equity indices in North America, Europe, and Asia-Pacific spanning the period 2002-2026 (over 34,000 trading sessions). Linear serial dependence tests reject weak-form market efficiency, revealing significant negative first-order autocorrelation and heavy-tailed, negatively skewed residuals. To exploit this anomaly while controlling downside risk and structural market drift, we develop two systematic trading strategies: an unfiltered symmetric baseline and an asymmetric, regime-filtered model. Across the global panel, the baseline achieves a pooled CAGR of 27.02% and a Sharpe ratio of 1.640. An asymmetric 200-day moving average filter suppresses counter-trend short entries, compressing annualized volatility to 13.66%, reducing maximum drawdown to -18.95%, and increasing the Calmar ratio to 1.653 alongside a Profit Factor of 1.498. Finally, a 0.50% intraday stop-loss limits left-tail risk, generating strong positive return skewness (+2.513) and supporting the economic viability of daily mean reversion across global financial centers.<\/jats:p>","DOI":"10.2139\/ssrn.7663278","type":"posted-content","created":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T12:14:41Z","timestamp":1793103281000},"source":"Crossref","is-referenced-by-count":0,"title":["Daily mean Reversion in Global Equity Indices: Serial Dependence, Tail Risk, and Exploitation"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0009-0103-6623","authenticated-orcid":true,"given":"Giovanni","family":"Bertola","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,27]],"date-time":"2026-10-27T12:14:41Z","timestamp":1793103281000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7663278"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7663278","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}