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Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction

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Author Info
Nam, Kiseok
Pyun, Chong Soo
Avard, Stephen L.
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File URL: http://www.sciencedirect.com/science/article/B6VCY-42M1DTD-8/2/8b9cb85c6e11f10b2caa8bd95c7bcf75
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 25 (2001)
Issue (Month): 4 (April)
Pages: 807-824
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Handle: RePEc:eee:jbfina:v:25:y:2001:i:4:p:807-824

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  1. Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March. [Downloadable!] (restricted)
  2. Patricia L. Chelley-Steeley & James M. Steeley, 2005. "The leverage effect in the UK stock market," Applied Financial Economics, Taylor and Francis Journals, vol. 15(6), pages 409-423, March. [Downloadable!] (restricted)
  3. Kulp-Tåg, Sofie, 2007. "Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets," Working Papers 524, Hanken School of Economics. [Downloadable!]
  4. Stefan Reitz & Frank Westerhoff, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," CFS Working Paper Series 2003/10, Center for Financial Studies. [Downloadable!]
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