Is stock market overreaction persistence over time

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Is Stock Market Overreaction Persistent Over Time?

Next article in issue: Boundary Conditions for Ratios with Positively Distributed Components. This paper examines the stability and persistence of the market overreaction hypothesis as posited by DeBondt and Thaler and , and reinforced by Chopra, Lakonishok, and Ritter Using monthly CRSP data for the period through , we find that returns obtained from a contrarian investment strategy are not time-stationary.

The relationship resumes during the pre-energy-crisis subperiod, but weakens again during the post-energy-crisis subperiod. The effectiveness of trading based upon the overreaction hypothesis is, therefore, suspect.

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Is Stock Market Overreaction Persistent Over Time?

Chen, University of Dayton Search for more papers by this author. University of Dayton Search for more papers by this author. January Full publication history DOI: Set citation alert Citing literature.

Abstract This paper examines the stability and persistence of the market overreaction hypothesis as posited by DeBondt and Thaler and , and reinforced by Chopra, Lakonishok, and Ritter Continue reading full article.

Format Available Full text: Keywords stock market; overreaction; contrarian strategy.

Publication History Issue online: Articles related to the one you are viewing Please enable Javascript to view the related content of this article. Number of times cited: The Case of ADRs, Journal of Behavioral Finance , , 4 , 1, 21 CrossRef 9 Georgina Benou , Market Underreaction to Large Stock Price Declines: The case of large firms, Journal of Economics and Finance , , 27 , 1, 19 CrossRef 12 Clive Gaunt , Overreaction in the Australian equity market: Barry Lin , Joseph I.

EconPapers: Is Stock Market Overreaction Persistent Over Time?

Onochie , Avner S. Wolf , Weekday variations in short-term contrarian profits in futures markets, Review of Financial Economics , , 8 , 2, CrossRef. Close article support pane.