.png){kind=icon}
返回
MEASURING ABNORMAL PERFORMANCE - DO STOCKS OVERREACT
.png){kind=icon}
PRE
AI
DOI：10.1016/0304-405X(92)90005-I.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
A highly controversial issue in financial economics is whether stocks overreact. In this paper we find an economically-important overreaction effect even after adjusting for size and beta. In portfolios formed on the basis of prior five-year returns, extreme prior losers outperform extreme prior winners. by 5-10% per year during the subsequent five years. Although we find a pronounced January seasonal, our evidence suggests that the overreaction effect is distinct from tax-loss selling effects. Interestingly, the overreaction effect is substantially stronger for smaller firms than for larger firms. Returns consistent with the overreaction hypothesis are also observed for short windows around quarterly earnings announcements.
Keyword:
MARKET-EFFICIENCY
SECURITY RETURNS
SIZE
RISK
JANUARY
SEASONALITY
BEHAVIOR
TESTS
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
12
论文数:
3.8K
被引数:
5.5W
机构
暂无机构信息
引用论文
SIMPLE TECHNICAL TRADING RULES AND THE STOCHASTIC PROPERTIES OF STOCK RETURNS.png)
JOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
PREAI
分享收藏分享收藏The Behaviour of Mixtures of Sodium Iso-Butyl Xanthate and Sodium Di-Ethyl Dithiophosphate during the Flotation of a Cu-Ni-Pt Ore in Degrading Water QualityMinerals
OAAI
MineralsIF0
OAAI分享收藏
分享收藏
查看更多内容