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Do markets overreact: International evidence

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  • Baytas, Ahmet
  • Cakici, Nusret

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  • Baytas, Ahmet & Cakici, Nusret, 1999. "Do markets overreact: International evidence," Journal of Banking & Finance, Elsevier, vol. 23(7), pages 1121-1144, July.
    • Handle: RePEc:eee:jbfina:v:23:y:1999:i:7:p:1121-1144
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    References listed on IDEAS

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    1. De Bondt, Werner F M & Thaler, Richard H, 1990. "Do Security Analysts Overreact?," American Economic Review, American Economic Association, vol. 80(2), pages 52-57, May.
    2. Ball, Ray & Kothari, S. P., 1989. "Nonstationary expected returns : Implications for tests of market efficiency and serial correlation in returns," Journal of Financial Economics, Elsevier, vol. 25(1), pages 51-74, November.
    3. Jones, Steven L., 1993. "Another look at time-varying risk and return in a long-horizon contrarian strategy," Journal of Financial Economics, Elsevier, vol. 33(1), pages 119-144, February.
    4. Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
    5. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    6. Bruce N. Lehmann, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(1), pages 1-28.
    7. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    8. Chopra, Navin & Lakonishok, Josef & Ritter, Jay R., 1992. "Measuring abnormal performance : Do stocks overreact?," Journal of Financial Economics, Elsevier, vol. 31(2), pages 235-268, April.
    9. Shefrin, Hersh & Statman, Meir, 1985. "The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 777-790, July.
    10. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    11. Gishan Dissanaike, 1997. "Do Stock Market Investors Overreact?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 27-50, January.
    12. Mendenhall, Rr, 1991. "Evidence On The Possible Underweighting Of Earnings-Related Information," Journal of Accounting Research, Wiley Blackwell, vol. 29(1), pages 170-179.
    13. Carl R. Chen & David A. Sauer, 1997. "Is Stock Market Overreaction Persistent Over Time?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 51-66.
    14. Kryzanowski, Lawrence & Zhang, Hao, 1992. "The Contrarian Investment Strategy Does Not Work in Canadian Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 383-395, September.
    15. Jegadeesh, Narasimhan, 1990. "Evidence of Predictable Behavior of Security Returns," Journal of Finance, American Finance Association, vol. 45(3), pages 881-898, July.
    16. Abarbanell, Jeffrey S & Bernard, Victor L, 1992. "Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior," Journal of Finance, American Finance Association, vol. 47(3), pages 1181-1207, July.
    17. Gishan Dissanaike, 1997. "Do Stock Market Investors Overreact?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 27-50.
    18. 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.
    19. Carl R. Chen & David A. Sauer, 1997. "Is Stock Market Overreaction Persistent Over Time?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 51-66, January.
    20. Dissanaike, Gishan, 1996. "Are stock price reversals really asymmetric? A note," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 189-201, January.
    21. Loughran, Tim & Ritter, Jay R, 1996. "Long-Term Market Overreaction: The Effect of Low-Priced Stocks," Journal of Finance, American Finance Association, vol. 51(5), pages 1959-1970, December.
    22. 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.
    23. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-163, April.
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