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Rational Investors' Reaction To Uncertainty: Evidence From The World'S Major Markets

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  • Richard A. Ajayi
  • Seyed Mehdian

Abstract

This paper examines the reaction of rational investors to unexpected information across the world's major markets. The empirical results provide considerable support for the Uncertain Information Hypothesis and limited support for the Overreaction Hypothesis. In addition, it is found that investors are compensated for post‐event increased volatility across these major markets.

Suggested Citation

  • Richard A. Ajayi & Seyed Mehdian, 1994. "Rational Investors' Reaction To Uncertainty: Evidence From The World'S Major Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 21(4), pages 533-545, June.
    • Handle: RePEc:bla:jbfnac:v:21:y:1994:i:4:p:533-545
    DOI: 10.1111/j.1468-5957.1994.tb00334.x
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    References listed on IDEAS

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    1. Zarowin, Paul, 1990. "Size, Seasonality, and Stock Market Overreaction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 113-125, March.
    2. De Bondt, Werner F M & Thaler, Richard H, 1987. "Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-581, July.
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