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A Note on the Behavior of Security Returns: A Test of Stock Market Overreaction and Efficiency

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  • Davidson, Wallace N, III
  • Dutia, Dipa
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    Abstract

    Researchers have debated stock market efficiency for years and have found several apparent anomalies, among them the overreaction investment strategy. In a sample of virtually all AMEX and NYSE stocks over twenty-one years, it is demonstrated that abnormal returns earned in one year are positively related to the abnormal returns earned in the next year. The evidence is contrary to the overreaction investment philosophy.

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    Bibliographic Info

    Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

    Volume (Year): 12 (1989)
    Issue (Month): 3 (Fall)
    Pages: 245-52

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    Handle: RePEc:bla:jfnres:v:12:y:1989:i:3:p:245-52

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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    Web page: http://www.southwesternfinance.org/
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    Cited by:
    1. Mun, Johnathan C. & Vasconcellos, Geraldo M. & Kish, Richard, 2000. "The Contrarian/Overreaction Hypothesis: An analysis of the US and Canadian stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 53-72.
    2. Yochanan Shachmurove, 2001. "Tests of Financial Markets Efficiency for Thirteen Small European Countries," Penn CARESS Working Papers eda175263851a1d10f52acc29, Penn Economics Department.
    3. Watson, John & Wickramanayake, J., 2012. "The relationship between aggregate managed fund flows and share market returns in Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 451-472.
    4. Peter Fortune, 1998. "Mutual funds, part II: fund flows and security returns," New England Economic Review, Federal Reserve Bank of Boston, issue Jan, pages 3-22.

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