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A Note On The Behavior Of Security Returns: A Test Of Stock Market Overreaction And Efficiency

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  • Wallace N. Davidson III
  • Dipa Dutia

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  • Wallace N. Davidson III & Dipa Dutia, 1989. "A Note On The Behavior Of Security Returns: A Test Of Stock Market Overreaction And Efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(3), pages 245-252, September.
    • Handle: RePEc:bla:jfnres:v:12:y:1989:i:3:p:245-252
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1989.tb00517.x
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    References listed on IDEAS

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    1. Schwert, G. William, 1983. "Size and stock returns, and other empirical regularities," Journal of Financial Economics, Elsevier, vol. 12(1), pages 3-12, June.
    2. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    3. Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-682, June.
    4. Beaver, William H. & Landsman, Wayne R., 1981. "Note on the behavior of residual security returns for winner and loser portfolios," Journal of Accounting and Economics, Elsevier, vol. 3(3), pages 233-241, December.
    5. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
    6. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
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    Cited by:

    1. Pramod Kumar Naik & Imlak Shaikh & Toan Luu Duc Huynh, 2022. "Institutional investment activities and stock market volatility amid COVID-19 in India," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 35(1), pages 1542-1560, December.
    2. Yochanan Shachmurove, 2001. "Tests of Financial Markets Efficiency for Thirteen Small European Countries," Penn CARESS Working Papers eda175263851a1d10f52acc29, Penn Economics Department.
    3. Uluyol, Burhan & Hui Pu, Suan & Shaturaev, Jakhongir & Kanaparan, Geetha, 2023. "Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies," MPRA Paper 119039, University Library of Munich, Germany, revised 05 Oct 2023.
    4. Watson, John & Wickramanayake, J., 2012. "The relationship between aggregate managed fund flows and share market returns in Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 451-472.
    5. Baur, Robert Frederick, 1992. "Overreaction in futures markets," ISU General Staff Papers 1992010108000010973, Iowa State University, Department of Economics.
    6. Peter Fortune, 1998. "Mutual funds, part II: fund flows and security returns," New England Economic Review, Federal Reserve Bank of Boston, issue Jan, pages 3-22.
    7. Guglielmo Maria Caporale & Nikolaos Philippas & Nikitas Pittis, 2004. "Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 981-989.
    8. Mun, Johnathan C. & Vasconcellos, Geraldo M. & Kish, Richard, 2000. "The Contrarian/Overreaction Hypothesis: An analysis of the US and Canadian stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 53-72.
    9. Yixi Ning & Xiankui Hu & Xavier Garza-Gomez, 2015. "An empirical analysis of the impact of large changes in institutional ownership on CEO compensation risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(1), pages 23-47, January.

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