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Do U.S. Stock Market Indexes Over- Or Underreact?

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  • Oliver Schnusenberg
  • Jeff Madura

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  • Oliver Schnusenberg & Jeff Madura, 2001. "Do U.S. Stock Market Indexes Over- Or Underreact?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 179-204, June.
    • Handle: RePEc:bla:jfnres:v:24:y:2001:i:2:p:179-204
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.2001.tb00764.x
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    Citations

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    Cited by:

    1. Ising, Jan & Schiereck, Dirk & Simpson, Marc W. & Thomas, Thomas W., 2006. "Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 598-619, September.
    2. Boubaker, Sabri & Farag, Hisham & Nguyen, Duc Khuong, 2015. "Short-term overreaction to specific events: Evidence from an emerging market," Research in International Business and Finance, Elsevier, vol. 35(C), pages 153-165.
    3. Yang, Jianlei, 2023. "Financial stabilization policy, market sentiment, and stock market returns," Finance Research Letters, Elsevier, vol. 52(C).
    4. Kiesel, Florian & Kolaric, Sascha & Schiereck, Dirk, 2016. "Market integration and efficiency of CDS and equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 209-229.
    5. Amini, Shima & Gebka, Bartosz & Hudson, Robert & Keasey, Kevin, 2013. "A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 1-17.
    6. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
    7. Wang, Ling, 2022. "The dynamics of money supply determination under asset purchase programs: A market-based versus a bank-based financial system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    8. Mazouz, Khelifa & Joseph, Nathan Lael & Palliere, Clement, 2009. "Stock index reaction to large price changes: Evidence from major Asian stock indexes," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 444-459, September.
    9. Gerritsen, Dirk F. & Lugtigheid, Rick A.C. & Walther, Thomas, 2022. "Can Bitcoin Investors Profit from Predictions by Crypto Experts?," Finance Research Letters, Elsevier, vol. 46(PA).
    10. Mazouz, Khelifa & Joseph, Nathan L. & Joulmer, Joulmer, 2009. "Stock price reaction following large one-day price changes: UK evidence," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1481-1493, August.
    11. Spyrou, Spyros, 2011. "Are broad market shocks anticipated by investors? Evidence from major equity and index options markets," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 127-133, June.
    12. Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.

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