Short-Term Price Overreactions: Identification, Testing, Exploitation
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DOI: 10.1007/s10614-017-9651-2
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- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreaction: Identification, Testing, Exploitation," Discussion Papers of DIW Berlin 1423, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2014. "Short-Term Price Overreactions: Identification, Testing, Exploitation," CESifo Working Paper Series 5066, CESifo.
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Citations
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Cited by:
- Guglielmo Maria Caporale & Alex Plastun, 2019.
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- Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo.
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- Razvan Stefanescu & Ramona Dumitriu, 2016. "Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 378-384.
- Guglielmo Maria Caporale & Alex Plastun, 2018. "On the Frequency of Price Overreactions," CESifo Working Paper Series 7011, CESifo.
- Plastun, Alex & Bouri, Elie & Gupta, Rangan & Ji, Qiang, 2022.
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- Ivan Borisov Todorov & Fernando Sánchez Lasheras, 2023. "Stock Price Forecasting of IBEX35 Companies in the Petroleum, Electricity, and Gas Industries," Energies, MDPI, vol. 16(9), pages 1-21, April.
- Lee, Namhoon & Choi, Wonseok & Pae, Yuntaek, 2021. "Market efficiency in foreign exchange market," Economics Letters, Elsevier, vol. 205(C).
- DIMA, Bogdan & DIMA, Ştefana Maria & IOAN, Roxana, 2021. "Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX," Finance Research Letters, Elsevier, vol. 43(C).
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"Gold and oil prices: abnormal returns, momentum and contrarian effects,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 353-368, September.
- Guglielmo Maria Caporale & Alex Plastun, 2020. "Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects," CESifo Working Paper Series 8445, CESifo.
- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2019.
"Long-term price overreactions: are markets inefficient?,"
Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 657-680, October.
- Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015. "Long-Term Price Overreactions: Are Markets Inefficient?," Discussion Papers of DIW Berlin 1444, DIW Berlin, German Institute for Economic Research.
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Research in International Business and Finance, Elsevier, vol. 70(PA).
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- Zhou, Xinxing & Gao, Yan & Wang, Ping & Zhu, Bangzhu, 2022. "Examining the overconfidence and overreaction in China’s carbon markets," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 472-489.
- Ivan Borisov Todorov & Fernando Sánchez Lasheras, 2022. "Forecasting Applied to the Electricity, Energy, Gas and Oil Industries: A Systematic Review," Mathematics, MDPI, vol. 10(21), pages 1-15, October.
- Charteris, Ailie & Kallinterakis, Vasileios, 2021. "Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market," International Review of Financial Analysis, Elsevier, vol. 75(C).
- Guglielmo Maria Caporale & Alex Plastun, 2020.
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Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
- Guglielmo Maria Caporale & Alex Plastun, 2019. "Momentum Effects in the Cryptocurrency Market After One-Day Abnormal Returns," CESifo Working Paper Series 7917, CESifo.
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More about this item
Keywords
Efficient market hypothesis; Anomaly; Overreaction hypothesis; Abnormal returns; Contrarian strategy; Trading strategy; Trading robot; t test;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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