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Overreaction in the Australian equity market: 1974-1997

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  • Gaunt, Clive

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  • Gaunt, Clive, 2000. "Overreaction in the Australian equity market: 1974-1997," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 375-398, July.
    • Handle: RePEc:eee:pacfin:v:8:y:2000:i:3-4:p:375-398
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    4. Bowman, Robert G. & Iverson, David, 1998. "Short-run overreaction in the New Zealand stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(5), pages 475-491, November.
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    9. Gishan Dissanaike, 1997. "Do Stock Market Investors Overreact?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(1), pages 27-50, January.
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    11. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
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    13. 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.
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    15. 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.
    16. da Costa, Newton Jr., 1994. "Overreaction in the Brazilian stock market," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 633-642, September.
    17. 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.
    18. Marshall Blume & Robert Stambaugh, "undated". "Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83)," Rodney L. White Center for Financial Research Working Papers 11-83, Wharton School Rodney L. White Center for Financial Research.
    19. 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.
    20. 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.
    21. 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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    Cited by:

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    2. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
    3. Jacquelyn E. Humphrey & Michael A. O’Brien, 2010. "Persistence and the four‐factor model in the Australian funds market: a note," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(1), pages 103-119, March.
    4. Liu Wei-qi & Zhang Jingxing, 2018. "BM(book-to-market ratio) factor: medium-term momentum and long-term reversal," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-29, December.
    5. Mohamed Ali Trabelsi, 2010. "Overreaction and portfolio‐selection strategies in the Tunisian stock market," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 11(3), pages 310-322, May.
    6. Philip Gray & Mark Whittaker, 2003. "Future Long‐Horizon Performance Measurement Conditional on Past Survival," International Review of Finance, International Review of Finance Ltd., vol. 4(1‐2), pages 29-48, March.
    7. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "Reactions of the capital markets to the shocks before and during the global crisis," MPRA Paper 41540, University Library of Munich, Germany, revised 10 Jan 2012.
    8. Chan, K. & Karolyi, G. A. & Rhee, S. G., 2002. "A retrospective evaluation of the Pacific-Basin Finance Journal: 1993-2002," Pacific-Basin Finance Journal, Elsevier, vol. 10(5), pages 497-516, November.
    9. Olfa Chaouachi & Fatma Wy?me Ben Mrad Douagi, 2014. "Overreaction Effect in the Tunisian Stock Market," Journal of Asian Business Strategy, Asian Economic and Social Society, vol. 4(11), pages 134-140, November.
    10. Rezvanian Rasoul & Klaczynska Ewelina & Krysiak Zbigniew, 2015. "Equity Market Reaction to Sharp Price Changes: Evidence from Poland," Scientific Annals of Economics and Business, Sciendo, vol. 62(2), pages 169-190, July.
    11. Borgards, Oliver & Czudaj, Robert L. & Hoang, Thi Hong Van, 2021. "Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact," Resources Policy, Elsevier, vol. 71(C).
    12. Hisham Farag, 2015. "Long-term Overreaction, Regulatory Policies and Stock Market Anomalies: Evidence from Egypt," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 112-139, August.

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