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Does the Stock Market Overreact?

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. The Journey from "Value" to "Glamour": Two Examples
    by Sanjay Bakshi in fundoo professor on 2007-03-11 08:26:00

Citations

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Cited by:

  1. Pradosh Simlai, 2009. "Stock returns, size, and book-to-market equity," Studies in Economics and Finance, Emerald Group Publishing, vol. 26(3), pages 198-212, July.
  2. Junran Wu & Ke Xu & Jichang Zhao, 2019. "Online reviews can predict long-term returns of individual stocks," Papers 1905.03189, arXiv.org.
  3. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August.
  4. Serban, Alina F., 2010. "Combining mean reversion and momentum trading strategies in foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2720-2727, November.
  5. Angelovska, Julijana, 2018. "Testing Weak Form Of Stock Market Efficiency At The Macedonian Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(2), pages 133-144.
  6. Paul P.J. Gao & Kevin X.D. Huang, 2008. "Aggregate Consumption-Wealth Ratio and the Cross-Section of Stock Returns: Some International Evidence," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 1-37, May.
  7. John V. Duca, 2005. "Why Have U.S. Households Increasingly Relied On Mutual Funds To Own Equity?," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 51(3), pages 375-396, September.
  8. repec:dau:papers:123456789/878 is not listed on IDEAS
  9. Ahmed Bouteska & Boutheina Regaieg, 2017. "Overconfidence Bias, Over/Under-reaction of Financial Analysts on the Tunisian Stock Market, and Their Impacts on the Earnings Forecasts," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 208-214.
  10. Avanidhar Subrahmanyam, 2008. "Behavioural Finance: A Review and Synthesis," European Financial Management, European Financial Management Association, vol. 14(1), pages 12-29, January.
  11. Shwu-Jane Shieh, 2006. "Evolution of momentum and popularity," Journal of Evolutionary Economics, Springer, vol. 16(4), pages 419-433, October.
  12. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis," MPRA Paper 42510, University Library of Munich, Germany, revised 18 Sep 2012.
  13. Curcuru, Stephanie E. & Thomas, Charles P. & Warnock, Francis E. & Wongswan, Jon, 2014. "Uncovered Equity Parity and rebalancing in international portfolios," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 86-99.
  14. Yao, Yi & Yang, Rong & Liu, Zhiyuan & Hasan, Iftekhar, 2013. "Government intervention and institutional trading strategy: Evidence from a transition country," Global Finance Journal, Elsevier, vol. 24(1), pages 44-68.
  15. Da, Zhi & Warachka, Mitchell Craig, 2009. "Cashflow risk, systematic earnings revisions, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 94(3), pages 448-468, December.
  16. Wang, Baolian, 2019. "The cash conversion cycle spread," Journal of Financial Economics, Elsevier, vol. 133(2), pages 472-497.
  17. Michael Ehrmann & David-Jan Jansen, 2016. "It Hurts (Stock Prices) When Your Team is about to Lose a Soccer Match," Review of Finance, European Finance Association, vol. 20(3), pages 1215-1233.
  18. Savor, Pavel G., 2012. "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, vol. 106(3), pages 635-659.
  19. Obrimah, Oghenovo A. & Prakash, Puneet, 2010. "Performance reversals and attitudes towards risk in the venture capital (VC) market," Journal of Economics and Business, Elsevier, vol. 62(6), pages 537-561, November.
  20. Tortorice, Daniel L., 2018. "Equity return predictability, time varying volatility and learning about the permanence of shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 315-343.
  21. Alexandros Kontonikas & Alexandros Kostakis, 2013. "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, September.
  22. Day, Min-Yuh & Ni, Yensen & Huang, Paoyu, 2019. "Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 349-372.
  23. Douglas W. Blackburn & Nusret Cakici, 2019. "Book-To-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-29, May.
  24. Mynhardt, H. R. & Plastun, Alex, 2013. "The Overreaction Hypothesis: The Case of Ukrainian Stock Market," MPRA Paper 58941, University Library of Munich, Germany.
  25. Cade Massey & Richard Thaler, 2005. "Overconfidence vs. Market Efficiency in the National Football League," NBER Working Papers 11270, National Bureau of Economic Research, Inc.
  26. Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen, 2019. "Detailed study of a moving average trading rule," Papers 1907.00212, arXiv.org.
  27. Gary Charness & Uri Gneezy, 2010. "Portfolio Choice And Risk Attitudes: An Experiment," Economic Inquiry, Western Economic Association International, vol. 48(1), pages 133-146, January.
  28. Marina Nikiforow, 2010. "Does training on behavioural finance influence fund managers' perception and behaviour?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(7), pages 515-528.
  29. Tekçe, Bülent & Yılmaz, Neslihan & Bildik, Recep, 2016. "What factors affect behavioral biases? Evidence from Turkish individual stock investors," Research in International Business and Finance, Elsevier, vol. 37(C), pages 515-526.
  30. Shi, Huai-Long & Zhou, Wei-Xing, 2017. "Time series momentum and contrarian effects in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 309-318.
  31. José Miguel Melo, 2011. "Estratégia Militar e Gestão de Activos: Uma Visão Heurística," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
  32. A. Cole, Rebel & Mehran, Hamid, 1998. "The effect of changes in ownership structure on performance: Evidence from the thrift industry," Journal of Financial Economics, Elsevier, vol. 50(3), pages 291-317, December.
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  34. Sina Ehsani & Juhani T. Linnainmaa, 2019. "Factor Momentum and the Momentum Factor," NBER Working Papers 25551, National Bureau of Economic Research, Inc.
  35. Ashraf, Dawood & Mohammad, Nazeeruddin, 2014. "Matching perception with the reality—Performance of Islamic equity investments," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 175-189.
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  38. Gyorgy Varga & Ricardo Dias de Oliveira Brito, 2016. "The Cross-Section of Expected Stock Returns in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(2), pages 151-187.
  39. Hou, Kewei & Xue, Chen & Zhang, Lu, 2012. "Digesting Anomalies: An Investment Approach," Working Paper Series 2012-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  40. Nam, Kiseok & Pyun, Chong Soo & Kim, Sei-Wan, 2003. "Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(5), pages 481-502, December.
  41. Mollet, Janick Christian & Ziegler, Andreas, 2014. "Socially responsible investing and stock performance: New empirical evidence for the US and European stock markets," Review of Financial Economics, Elsevier, vol. 23(4), pages 208-216.
  42. Kaizoji, Taisei & Leiss, Matthias & Saichev, Alexander & Sornette, Didier, 2015. "Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 289-310.
  43. Rezvanian, Rasoul & Turk, Rima A. & Mehdian, Seyed M., 2011. "Investors' reactions to sharp price changes: Evidence from equity markets of the People's Republic of China," Global Finance Journal, Elsevier, vol. 22(1), pages 1-18.
  44. Joseph L. Pagliari, Jr. & James R. Webb, 1995. "A Fundamental Examination of Securitized and Unsecuritized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 381-426.
  45. Hodgson, Allan & Da Lim, Wei & Mi, Lin, 2018. "Insider sales vs. short selling: Negative information trading in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 72-83.
  46. Frank McGroarty & Ash Booth & Enrico Gerding & V. L. Raju Chinthalapati, 2019. "High frequency trading strategies, market fragility and price spikes: an agent based model perspective," Annals of Operations Research, Springer, vol. 282(1), pages 217-244, November.
  47. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
  48. repec:dau:papers:123456789/2256 is not listed on IDEAS
  49. Wang, Juan & Zhang, Dongxiang & Zhang, Jian, 2015. "Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 157-164.
  50. repec:dau:papers:123456789/3013 is not listed on IDEAS
  51. Lu, Tsung-Hsun & Chen, Yi-Chi & Hsu, Yu-Chin, 2015. "Trend definition or holding strategy: What determines the profitability of candlestick charting?," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 172-183.
  52. Azi Ben-Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2017. "Demand for Information and Asset Pricing," NBER Working Papers 23274, National Bureau of Economic Research, Inc.
  53. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
  54. Aubert, François & Grudnitski, Gary, 2014. "The role of reconciliation quality in limiting mispricing of non-GAAP earnings announcements by EURO STOXX firms," Advances in accounting, Elsevier, vol. 30(1), pages 154-167.
  55. Daniele Schilir, 2012. "Bounded Rationality And Perfect Rationality Psychology Into Economics," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 3(2), pages 99-108.
  56. Kremena Bachmann & Thorsten Hens, 2010. "Behavioral Finance and Investment Advice," Chapters, in: Brian Bruce (ed.),Handbook of Behavioral Finance, chapter 15, Edward Elgar Publishing.
  57. Abdelbari El Khamlichi & Mohamed Arouri & Frédéric Teulon, 2014. "Persistence of Performance Using the Four-Factor Pricing Model: Evidence from Dow Jones Islamic Index," Working Papers 2014-216, Department of Research, Ipag Business School.
  58. Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
  59. Jaehyung Choi, 2011. "Spontaneous symmetry breaking of arbitrage," Papers 1107.5122, arXiv.org, revised Apr 2012.
  60. Eom, Cheoljun & Park, Jong Won, 2017. "Effects of common factors on stock correlation networks and portfolio diversification," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 1-11.
  61. Heston, Steven L. & Sadka, Ronnie, 2008. "Seasonality in the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 87(2), pages 418-445, February.
  62. Zha Giedt, Jenny, 2016. "Economic Consequences of Announcing Strategic Alternatives," MPRA Paper 81356, University Library of Munich, Germany, revised 10 Sep 2017.
  63. Elze, Gregor, 2010. "Value investing anomalies in the European stock market: Multiple Value, Consistent Earner, and Recognized Value," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 527-537, November.
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  65. Lisa Bruttel & Tim Friehe, 2011. "Path dependence in public-good games," TWI Research Paper Series 67, Thurgauer Wirtschaftsinstitut, Universität Konstanz.
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  67. Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
  68. Tobias J. Moskowitz & Mark Grinblatt, 2002. "What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?," Yale School of Management Working Papers ysm259, Yale School of Management.
  69. Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011. "Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 868-879.
  70. Borgers, A.C.T., 2014. "Responsible investing : New insights into performance and tastes," Other publications TiSEM 587e777f-c242-4a44-968e-7, Tilburg University, School of Economics and Management.
  71. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
  72. Ziegler, Andreas & Busch, Timo & Hoffmann, Volker H., 2011. "Disclosed corporate responses to climate change and stock performance: An international empirical analysis," Energy Economics, Elsevier, vol. 33(6), pages 1283-1294.
  73. Shaikh, Salman, 2013. "Investment Decisions by Analysts: A Case Study of KSE," MPRA Paper 53802, University Library of Munich, Germany.
  74. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
  75. Espinoza, Nicolás & Espinoza, Tomás, 2014. "The Momentum Effect In The Chilean Stock Market," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 12(1), pages 1-32.
  76. Jaroslav Bukovina, 2015. "Sentiment of a society and large-cap stock liquidity," MENDELU Working Papers in Business and Economics 2015-56, Mendel University in Brno, Faculty of Business and Economics.
  77. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2019. "Structural instability and predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
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