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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, 2008. "Sur-réaction sur le marché tunisien des actions : une investigation empirique [Overreaction on the Tunisian stock market: an empirical test]," MPRA Paper 26751, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:26751
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Assets pricing anomalies; portfolio selection; efficiency; performance; overreaction; momentum strategies.;
    All these keywords.

    JEL classification:

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

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