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

  • Davidson, Wallace N, III
  • Dutia, Dipa
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    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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    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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