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MEASURING ABNORMAL PERFORMANCE - DO STOCKS OVERREACT

delete1992-04-01
delete373
PRE
AI
N
Navin Chopra
J
Josef Lakonishok
R
RITTER, JR
DOI：10.1016/0304-405X(92)90005-Idelete
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Abstract

Abstract

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.
Keywords:
MARKET-EFFICIENCY
SECURITY RETURNS
SIZE
RISK
JANUARY
SEASONALITY
BEHAVIOR
TESTS
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Journal

Journal of Financial Economics cover
Journal of Financial Economics
IF:
12
Papers:
3.8K
Citations:
5.5W

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