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Sur-réaction sur le marché tunisien des actions : une investigation empirique
[Overreaction on the Tunisian stock market: an empirical test]

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  • Trabelsi, Mohamed Ali

Abstract

The financial market interest several researchers, especially in the domain of assessment of the financial assets and their performances. The previous research identified several anomalies of the market, as size, Monday, January, PER effects, etc. putting in question the notion of market efficiency and thereafter the predictability of assets returns. In the same context, W.F.M. De Bondt and R. Thaler [1985] disclosed one stock course overreaction: assets having recorded bad performances in the past in stock market would know performances subsequently superior to the average and vice-versa for assets having recorded excellent performances. In this paper we study the overreaction effect on the Tunisian stock market and we show that the hypothesis of basis that consists at exploiting the negative dependence of returns is a necessary condition but not sufficient so that a market reacts giving an explanation thus to the results contradictory of the different authors on the overreaction effect.

Suggested Citation

  • Trabelsi, Mohamed Ali, 2009. "Sur-réaction sur le marché tunisien des actions : une investigation empirique
    [Overreaction on the Tunisian stock market: an empirical test]
    ," MPRA Paper 80441, University Library of Munich, Germany, revised 2009.
  • Handle: RePEc:pra:mprapa:80441
    as

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    File URL: https://mpra.ub.uni-muenchen.de/80441/1/MPRA_paper_80441.pdf
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Trabelsi, Mohamed Ali, 2010. "Sélection de portefeuille via la stratégie de sur-réaction
      [Portfolio selection via the overreaction strategy]
      ," MPRA Paper 81472, University Library of Munich, Germany, revised 2010.
    2. repec:bor:bistre:v:17:y:2017:i:3:p:178-189 is not listed on IDEAS
    3. Mohamed Ali Trabelsi, 2010. "Overreaction and portfolio-selection strategies in the Tunisian stock market," Journal of Risk Finance, Emerald Group Publishing, vol. 11(3), pages 310-322, May.

    More about this item

    Keywords

    Assets pricing anomalies; portfolio selection; efficiency; performance; overreaction; momentum strategies;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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