Overreaction and Underreaction
Overreaction and underreaction on the BUCHAREST STOCK EXCHANGE
... - Overreaction Hypothesis stipulates that investors overreact on the day when a shock occurs and they correct on the next days by opposite ...- Underreaction Hypothesis considers that investors underreact ...
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REVIEW OF OVERREACTION AND UNDERREACTION IN STOCK MARKETS
... greatest underreaction occurs in stable/noisy conditions and the greatest overreaction occurs in unstable/precise ...and overreaction predicted by the system neglect ...
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Overreaction and Underreaction : - Evidence for the Portuguese Stock Market -
... The purpose of this paper is to explore the existence of these return patterns for the Portuguese stock market. Only a very few papers looked at the predictability of Portuguese stock returns on the basis of past ...
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Empirical Study on Overreaction and Underreaction in Chinese Stock Market Based on ANAR TGARCH Model
... on overreaction and underreaction in the Chinese stock market by taking the abnormal value, run length, time scale, size, industry, style, and market cycle into ...
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A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction during Financial Crises
... long-term overreaction, and their magnitude effects hold regardless of the symmetric/asymmetric information on the signs of the earnings shock, and hold dur- ing financial crises and ...for overreaction and ...
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
... long-term overreaction, and their magnitude effects hold regardless of the symmetric/asymmetric information on the signs of the earnings shock, and hold dur- ing financial crises and ...for overreaction and ...
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Market Underreaction and Overreaction of Technology Stocks
... efficient is positive (negative). For winners (losers) ex- periencing underreaction, it is negative (positive). Initial price change. The degree of correction is expected to be more pronounced for firms that ...
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A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
... In order to impose some discipline on the process, it is useful to articulate the criteria that a new theory should be expected to satisfy. There seems to be broad agreement that to be successful, any candidate theory ...
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A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
... "unify" underreaction and overreaction in the following ...this underreaction with a simple arbitrage strategy, they only partially eliminate it, and in so doing, create an excessive momentum ...
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[[alternative]]Managerial Decisions and Long-Run Performance: Efficient Market, Overreaction or Underreaction
... 對於上述不支持效率市場假說之長期異常報酬現象﹐有學者以心理學上的發現為基 礎﹐輔以社會學等其他社會科學的觀點﹐即所謂「行為財務學」嘗試解釋無法為傳統財務 經濟理論所解釋的異常現象。而較廣泛的解釋是由於投資人對某事件(或資訊)過度反應 (overreaction)或反應不足(underreaction)。所謂「過度反應」係指投資人對某事件(或資訊) ...
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A Quantitative Behavioral Model and Its Implications for Market Volatility, Underreaction, and
... short-run underreaction and long-run overreaction, we also derive excess volatility as a consequence of the behavioral ...On overreaction and underreaction, we demonstrate that there exists a ...
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Extrapolating Expectations: An Explanation for Excess Volatility and Overreaction
... and underreaction, or even overreaction. Overreaction appears as a quite popular explanation in the recent finance literature, indicating investors being overly optimistic about future stock ...
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Overreaction and Noise Trading
... Considering the book offer organization, regardless the side of the book, the orders at the top are the most probable to be executed. The bid side is organized in ascending order, i.e. the highest bid is placed at the ...
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Underreaction to open market share repurchases
... For value companies, the difference between abnormal returns for the repurchase sample and the control sample was positive and statistically significant at the 1% level for all estima[r] ...
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Management forecast credibility and underreaction to news
... We then test whether forecast credibility provides an explanation for the market underreaction to forecast news. Specifically, we examine how the reaction to the forecast and the subsequent return correction vary ...
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Overreaction in the Thrift IPO Aftermarket
... investor overreaction to information (measured by the initial overvaluation of the IPO), followed by additional subsequent overreaction (large positive first-day returns), and long-term mean-reversion ...
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Market overreaction and investment strategies.
... Although a higher w 1 is naturally associated with a higher risk tolerance, the reverse is observed when the 5% and the 10% risk limit portfolios are compared. This is because the 10% risk limit portfolio grows faster in ...
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Market underreaction to open market share repurchases
... This figure plots the cumulative abnormal return (CAR) up to 48 months following the announce- ment of an open market share repurchase Abnormal returns are calculated using [r] ...
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Market Underreaction to Open Market Share Repurchases
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Driven to distraction: Extraneous events and underreaction to earnings news
... We call days with a large number of competing announcements “high-news days,” as opposed to “low-news days.” We find that investors’ announcement date re- actions to earnings news are si[r] ...
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