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Overreaction, Delayed Reaction, and Contrarian Profits

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  • Jegadeesh, Narasimhan
  • Titman, Sheridan

Abstract

This paper presents a decomposition of short-horizon contrarian profits into various sources based on an analysis os stock price reactions to common factors an firm-specific information. In sharp contrast with the conclusions in the extant literature, we find that the lead-lag structure in stock prices contributes less than 5% of the observed contrarian profits with most of the profits being attributable to stock price overreaction.

Suggested Citation

  • Jegadeesh, Narasimhan & Titman, Sheridan, 1992. "Overreaction, Delayed Reaction, and Contrarian Profits," University of California at Los Angeles, Anderson Graduate School of Management qt3qk5r820, Anderson Graduate School of Management, UCLA.
    • Handle: RePEc:cdl:anderf:qt3qk5r820
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