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Sélection de portefeuille via la stratégie de sur-réaction
[Portfolio selection via the overreaction strategy]

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  • Trabelsi, Mohamed Ali

Abstract

The inefficiency of the stock markets is often bound to the stake in evidence of anomalies noticed in the behavior of returns by several authors. These anomalies are revealing of inefficiency if their knowledge permits to make a profit ex-ante of strategies based on them. De Bondt and 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. This article aims at presenting the overreaction strategy adopted by most managers in Tunisia and to put in evidence a new strategy which turned out to be the best one.

Suggested Citation

  • Trabelsi, Mohamed Ali, 2010. "Sélection de portefeuille via la stratégie de sur-réaction [Portfolio selection via the overreaction strategy]," MPRA Paper 81472, University Library of Munich, Germany, revised 2010.
    • Handle: RePEc:pra:mprapa:81472
    as

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    References listed on IDEAS

    as
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    5. Alonso, Aurora & Rubio, Gonzalo, 1990. "Overreaction in the Spanish equity market," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 469-481, August.
    6. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    7. Conrad, Jennifer & Kaul, Gautam, 1993. "Long-Term Market Overreaction or Biases in Computed Returns?," Journal of Finance, American Finance Association, vol. 48(1), pages 39-63, March.
    8. 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 76925, University Library of Munich, Germany.
    9. De Bondt, Werner F M & Thaler, Richard H, 1987. "Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-581, July.
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    11. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-163, April.
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    More about this item

    Keywords

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

    JEL classification:

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

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