Evidence on stock market overreaction
However, evidence reported by Sch- wert (1989) shows that this cannot be the whole story. Indeed, recent research has shown that investors' uncertainty over We present empirical evidence against overreaction as the primary source of contrarian profits, and show the presence of important lead-lag relations across over the period shows clear evidence of stock overreaction behaviour in the UK market. The data is then split into sub-periods for further investigation which Moreover, a substantial body of empirical literature has provided the evidence for overreaction in the financial markets. Evidence shows that previously losers
shape the kind of portfolios that investors chose, the type of securities investors address overconfidence and overreaction and their implication on market to accumulate evidence of “anomalies” that appeared to contradict the theory.
The overreaction hypothesis on a new set of data for the Brazilian stock market over the period 1970–1989 is investigated. Both market adjusted returns and the standard Sharpe-Lintner CAPM “Overreaction” and “Underreaction”: - Evidence for the Portuguese Stock Market – Abstract In the past two decades several studies show and explain the occurrence of financial phenomena that are contrary to the Efficient Markets Hypothesis (EMH) of Fama (1970). Malaysian stock market for the current period. To mmarissue, the first objective of this paper is to establish whether investors exhibit overreaction in the stock market for time horizon of 1 weeks to 1 year after portfolio forma tion. Second, we also investigate the relationship between stock trading volume and the magnitude of overreaction. Short Term Overreaction Effect: Evidence on the Turkish Stock Market Gülin Vardar Izmir University of Economics, Turkey Berna Okan Izmir University of Economics, Turkey Abstract In this paper, we empirically examine the short term overreaction effect in the Istanbul Stock Exchange using daily stock data from January 1999 to December 2003. We interpreted this finding as consistent with the behavioral hypothesis of investor overreaction. In this follow‐up paper, additional evidence is reported that supports the overreaction hypothesis and that is inconsistent with two alternative hypotheses based on firm size and differences in risk, as measured by CAPM‐betas. You get recessions, you have, market declines. If you don’t understand that’s going to happen, then you are not ready, you won’t do well in the markets. Peter Lynch. Raj S. Dhankar & Supriya Maheshwari, A Study of Contrarian and Momentum Profits in Indian Stock Market, International Journal of Financial Management, Vol. 4(2), April 2014.
Overreaction to Stock Market News and Misevaluation of Stock Prices by Unsophisticated Investors: Evidence from the Option Market This paper examines option activity on value and growth stocks before earnings announce-ments. The main finding is that unsophisticated investors enter option positions that load up on
Short Term Overreaction Effect: Evidence on the Turkish Stock Market Gülin Vardar Izmir University of Economics, Turkey Berna Okan Izmir University of Economics, Turkey Abstract In this paper, we empirically examine the short term overreaction effect in the Istanbul Stock Exchange using daily stock data from January 1999 to December 2003.
However, evidence reported by Sch- wert (1989) shows that this cannot be the whole story. Indeed, recent research has shown that investors' uncertainty over
Size, Seasonality, and Stock Market Overreaction - Volume 25 Issue 1 - Paul Zarowin. Skip to main content Accessibility help We use cookies to distinguish you from other users and to provide you with a better experience on our websites. “ Further Evidence on Investor Overreaction and Stock Market Seasonality.’ Overreaction Evidence from Large-Cap Stocks. First, stock market overreaction still holds for a recent sample of large firms. Second, this is robust to the Fama and French (1993) three-factor This paper provides clear evidence of stock market imperfection; therefore investors can earn abnormal returns by exploiting the overreaction anomaly. Exploring market imperfections works as an early warning system to the regulator in emerging markets. The rest of the paper is organized as follows. Section 2 presents a survey of the literature.
proof this evidence, their research found that higher trading volume as a proxy of high- er demand of stocks, has been the antecedents variable of stock market
Gishan Dissanaike (1997) investigated the evidence on the stock market overreaction hypothesis (ORH), using data from 1975 to 1991 for nearly 1,000 UK companies. The evidence supports the overreaction hypothesis, subject to certain qualification. Studies by Angelos Pepelas (2008) proved the existence of overreaction in UK stock market. Stock Market Overreaction: Some Evidence from the Colombo Stock Exchange 7 example, the Colombo Brokers Association (CBA) traded in the shares of limited liability companies that were involved in the plantation business as far back as 1896. The overreaction hypothesis on a new set of data for the Brazilian stock market over the period 1970–1989 is investigated. Both market adjusted returns and the standard Sharpe-Lintner CAPM “Overreaction” and “Underreaction”: - Evidence for the Portuguese Stock Market – Abstract In the past two decades several studies show and explain the occurrence of financial phenomena that are contrary to the Efficient Markets Hypothesis (EMH) of Fama (1970). Malaysian stock market for the current period. To mmarissue, the first objective of this paper is to establish whether investors exhibit overreaction in the stock market for time horizon of 1 weeks to 1 year after portfolio forma tion. Second, we also investigate the relationship between stock trading volume and the magnitude of overreaction.
Malaysian stock market for the current period. To mmarissue, the first objective of this paper is to establish whether investors exhibit overreaction in the stock market for time horizon of 1 weeks to 1 year after portfolio forma tion. Second, we also investigate the relationship between stock trading volume and the magnitude of overreaction. Short Term Overreaction Effect: Evidence on the Turkish Stock Market Gülin Vardar Izmir University of Economics, Turkey Berna Okan Izmir University of Economics, Turkey Abstract In this paper, we empirically examine the short term overreaction effect in the Istanbul Stock Exchange using daily stock data from January 1999 to December 2003.