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Sur-réaction sur le marché tunisien des actions : une investigation empirique
[Overreaction on the Tunisian stock market: an empirical test]

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  • Trabelsi, Mohamed Ali

Abstract

The financial market interest several researchers, especially in the domain of assessment of the financial assets and their performances. The previous research identified several anomalies of the market, as size, Monday, January, PER effects, etc. putting in question the notion of market efficiency and thereafter the predictability of assets returns. In the same context, W.F.M. De Bondt and R. Thaler [1985] disclosed one stock course overreaction: assets having recorded bad performances in the past in stock market would know performances subsequently superior to the average and vice-versa for assets having recorded excellent performances. In this paper we study the overreaction effect on the Tunisian stock market and we show that the hypothesis of basis that consists at exploiting the negative dependence of returns is a necessary condition but not sufficient so that a market reacts giving an explanation thus to the results contradictory of the different authors on the overreaction effect.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 26751.

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Date of creation: Mar 2008
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Handle: RePEc:pra:mprapa:26751

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Related research

Keywords: Assets pricing anomalies; portfolio selection; efficiency; performance; overreaction; momentum strategies.;

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References

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  1. da Costa, Newton Jr., 1994. "Overreaction in the Brazilian stock market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 18(4), pages 633-642, September.
  2. Claude Broquet & Robert Cobbaut & Roland Gillet & André Van Den Berg, 2004. "Gestion de portefeuille," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/14359, ULB -- Universite Libre de Bruxelles.
  3. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. " Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1739-64, December.
  4. Ball, Ray & Kothari, S. P. & Shanken, Jay, 1995. "Problems in measuring portfolio performance An application to contrarian investment strategies," Journal of Financial Economics, Elsevier, Elsevier, vol. 38(1), pages 79-107, May.
  5. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, American Finance Association, vol. 48(1), pages 65-91, March.
  6. Kaul, Gautam & Nimalendran, M., 1990. "Price reversals *1: Bid-ask errors or market overreaction?," Journal of Financial Economics, Elsevier, Elsevier, vol. 28(1-2), pages 67-93.
  7. Zarowin, Paul, 1989. " Does the Stock Market Overreact to Corporate Earnings Information?," Journal of Finance, American Finance Association, American Finance Association, vol. 44(5), pages 1385-99, December.
  8. Blume, Marshall E. & Stambaugh, Robert F., 1983. "Biases in computed returns : An application to the size effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 12(3), pages 387-404, November.
  9. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, Elsevier, vol. 9(1), pages 3-18, March.
  10. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 22(1), pages 3-25, October.
  11. Atkins, Allen B. & Dyl, Edward A., 1990. "Price Reversals, Bid-Ask Spreads, and Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 25(04), pages 535-547, December.
  12. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 62(1), pages 55-80, January.
  13. Jegadeesh N. & Titman S., 1995. "Short-Horizon Return Reversals and the Bid-Ask Spread," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 4(2), pages 116-132, April.
  14. Marshall Blume & Robert Stambaugh, . "Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 11-83, Wharton School Rodney L. White Center for Financial Research.
  15. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, American Finance Association, vol. 40(3), pages 793-805, July.
  16. Alonso, Aurora & Rubio, Gonzalo, 1990. "Overreaction in the Spanish equity market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 14(2-3), pages 469-481, August.
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