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Long-Term Market Overreaction or Biases in Computed Returns?

Citations

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Cited by:

  1. English, Philip II & Smythe, Thomas I. & McNeil, Chris R., 2004. "The "CalPERS effect" revisited," Journal of Corporate Finance, Elsevier, vol. 10(1), pages 157-174, January.
  2. Bartholdy, Jan, 1998. "Changes in earnings-price ratios and excess returns: A case of investor over-reaction," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 237-252.
  3. James S. Doran & Danling Jiang & David R. Peterson, 2011. "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, vol. 16(3), pages 685-731.
  4. Lawrence Fisher & Daniel G. Weaver & Gwendolyn Webb, 2012. "Removing Biases in Computed Returns: An Analysis of Bias in Equally-Weighted Return Indexes of REITs," International Real Estate Review, Global Social Science Institute, vol. 15(1), pages 43-71.
  5. Wentworth Boynton & Steven Jordan, 2006. "Will the Smart Institutional Investor Always Drive Prices to Fundamental Value?," Yale School of Management Working Papers amz2357, Yale School of Management, revised 19 Nov 2006.
  6. repec:dau:papers:123456789/2256 is not listed on IDEAS
  7. Wang, Juan & Zhang, Dongxiang & Zhang, Jian, 2015. "Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 157-164.
  8. repec:dau:papers:123456789/3013 is not listed on IDEAS
  9. Ron Bird & Lorenzo Casavecchia, 2011. "Conditional style rotation model on enhanced value and growth portfolios: The European experience," Journal of Asset Management, Palgrave Macmillan, vol. 11(6), pages 375-390, February.
  10. Avanidhar Subrahmanyam, 2010. "The Cross†Section of Expected Stock Returns: What Have We Learnt from the Past Twenty†Five Years of Research?," European Financial Management, European Financial Management Association, vol. 16(1), pages 27-42, January.
  11. Barber, Brad M. & Lyon, John D., 1997. "Detecting long-run abnormal stock returns: The empirical power and specification of test statistics," Journal of Financial Economics, Elsevier, vol. 43(3), pages 341-372, March.
  12. Lee, Darren D. & Chan, Howard & Faff, Robert W. & Kalev, Petko S., 2003. "Short-term contrarian investing--is it profitable? ... Yes and No," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 385-404, December.
  13. Spiess, D. Katherine & Affleck-Graves, John, 1995. "Underperformance in long-run stock returns following seasoned equity offerings," Journal of Financial Economics, Elsevier, vol. 38(3), pages 243-267, July.
  14. Kung, James J., 2009. "A two-asset stochastic model for long-term portfolio selection," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3089-3098.
  15. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
  16. Taffler, Richard J. & Lu, Jeffrey & Kausar, Asad, 2004. "In denial? Stock market underreaction to going-concern audit report disclosures," Journal of Accounting and Economics, Elsevier, vol. 38(1), pages 263-296, December.
  17. Espinoza, Nicolás & Espinoza, Tomás, 2014. "The Momentum Effect In The Chilean Stock Market," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 12(1), pages 1-32.
  18. Hisham Farag & Robert Cressy, 2010. "Do unobservable factors explain the disposition effect in emerging stock markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(15), pages 1173-1183.
  19. Higson, Chris & Elliott, Jamie, 1998. "Post-takeover returns: The UK evidence," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 27-46, January.
  20. Michel DUBOIS & Pierre JEANNERET, 2000. "The Long-run Performance of Seasoned Equity Offerings with rights evidence from the Swiss Market," FAME Research Paper Series rp22, International Center for Financial Asset Management and Engineering.
  21. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
  22. Jose M. Marin & Jacques P. Olivier, 2008. "The Dog That Did Not Bark: Insider Trading and Crashes," Journal of Finance, American Finance Association, vol. 63(5), pages 2429-2476, October.
  23. Yun Wang, Chang & Sang Cheng, Nam, 2004. "Extreme volumes and expected stock returns: Evidence from China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 577-597, November.
  24. Hon, Mark T. & Tonks, Ian, 2003. "Momentum in the UK stock market," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 43-70, February.
  25. Jan Bo Jakobsen & Torben Voetmann, 2003. "Post-acquisition performance in the short and long run. Evidence from the Copenhagen Stock Exchange 1993-1997," The European Journal of Finance, Taylor & Francis Journals, vol. 9(4), pages 323-342.
  26. Recep Bildik & Mustafa K. Yilmaz, 2008. "The Market Performance of Initial Public Offerings in the Istanbul Stock Exchange," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 2(2), pages 49-76.
  27. Ball, Ray & Kothari, S. P. & Shanken, Jay, 1995. "Problems in measuring portfolio performance An application to contrarian investment strategies," Journal of Financial Economics, Elsevier, vol. 38(1), pages 79-107, May.
  28. Kobana Abukari & Isaac Otchere, 2020. "Dominance of hybrid contratum strategies over momentum and contrarian strategies: half a century of evidence," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 471-505, December.
  29. Spiess, D. Katherine & Affleck-Graves, John, 1999. "The long-run performance of stock returns following debt offerings," Journal of Financial Economics, Elsevier, vol. 54(1), pages 45-73, October.
  30. Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C., 2002. "Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 563-588, December.
  31. Chan, Konan & Ikenberry, David L. & Lee, Inmoo, 2007. "Do managers time the market? Evidence from open-market share repurchases," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2673-2694, September.
  32. Hanna, J. Douglas & Ready, Mark J., 2005. "Profitable predictability in the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 78(3), pages 463-505, December.
  33. Keun Jung Lee, 2021. "The Effects of Privatization and Corporate Governance of SOEs in Transition Economies: The Case of Kazakhstan," ADB Institute Series on Development Economics, in: Farhad Taghizadeh-Hesary & Naoyuki Yoshino & Chul Ju Kim & Kunmin Kim (ed.), Reforming State-Owned Enterprises in Asia, chapter 0, pages 113-132, Springer.
  34. Nartea, Gilbert V. & Valera, Harold Glenn A. & Valera, Maria Luisa G., 2021. "Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 214-230.
  35. Gishan Dissanaike & Kim†Hwa Lim, 2010. "The Sophisticated and the Simple: the Profitability of Contrarian Strategies," European Financial Management, European Financial Management Association, vol. 16(2), pages 229-255, March.
  36. Alves, Paulo & Carvalho, Luís, 2020. "Recent evidence on international stock market’s overreaction," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
  37. Allen, D.E. & Soucik, V., 2008. "Long-run underperformance of seasoned equity offerings: Fact or an illusion?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 146-154.
  38. Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March.
  39. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "Reactions of the capital markets to the shocks before and during the global crisis," MPRA Paper 41540, University Library of Munich, Germany, revised 10 Jan 2012.
  40. Couch, Robert & Wu, Wei, 2016. "The fair value option for liabilities and stock returns during the financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 83-98.
  41. Andrikopoulos, Panagiotis, 2009. "Seasoned equity offerings, operating performance and overconfidence: Evidence from the UK," Journal of Economics and Business, Elsevier, vol. 61(3), pages 189-215.
  42. Wang, Sean, 2019. "Informational environments and the relative information content of analyst recommendations and insider trades," Accounting, Organizations and Society, Elsevier, vol. 72(C), pages 61-73.
  43. Jan Bo Jakobsen & Torben Voetmann, 2005. "A New Approach for Interpreting Long-Run Returns, Applied to IPO and SEO Stocks," Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 337-363, November.
  44. MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, vol. 38(1), pages 3-28, May.
  45. Lobe, Sebastian & Rieks, Johannes, 2011. "Short-term market overreaction on the Frankfurt stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 113-123, May.
  46. Walid Saleh, 2007. "Overreaction: the sensitivity of defining the duration of the formation period," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 45-61.
  47. Ma, Pengfei & Li, Chengcheng & Wang, Xiaoqiong, 2024. "Why do undervalued firms repurchase shares? Evidence based on the market-timing effect in China," Global Finance Journal, Elsevier, vol. 59(C).
  48. João Batista Amorim Toniato, 2007. "“Hot Issue” IPO Markets and its Consequences for Issuing Firms and Investors: The UK Market of 2000," Brazilian Business Review, Fucape Business School, vol. 4(1), pages 1-26, January.
  49. Lawrence Fisher & Daniel Weaver & Gwendolyn Webb, 2010. "Removing biases in computed returns," Review of Quantitative Finance and Accounting, Springer, vol. 35(2), pages 137-161, August.
  50. Ali Fayyaz Munir & Shahrin Saaid Shaharuddin & Mohd Edil Abd. Sukor, 2020. "Long-Term, Short-Term and Time-Varying Profitability of Reversals: The Role of Market State and Volatility," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 501-520.
  51. Martin H. Schmidt, 2017. "Trading strategies based on past returns: evidence from Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(2), pages 201-256, May.
  52. Minye Zhang & Yongheng Deng, 2010. "Is the Mean Return of Hotel Real Estate Stocks Apt to Overreact to Past Performance?," The Journal of Real Estate Finance and Economics, Springer, vol. 40(4), pages 497-543, May.
  53. Gaunt, Clive, 2000. "Overreaction in the Australian equity market: 1974-1997," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 375-398, July.
  54. Robert Cressy & Hisham Farag, 2011. "Do size and unobservable company factors explain stock price reversals?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(1), pages 1-21, January.
  55. Wolfgang Bessler & Stefan Thies, 2006. "Initial Public Offerings, Subsequent Seasoned Equity Offerings, and Long-Run Performance: Evidence from IPOs in Germany," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 11(3), pages 1-37, Fall.
  56. Jalal Shah & Attaullah Shah, 2018. "Contrarian and Momentum Investment Strategies in Pakistan Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 57(3), pages 253-282.
  57. Benoît F. Leleux & Daniel F. Muzyka, 1997. "European IPO Markets: The Post-Issue Performance Imperative," Entrepreneurship Theory and Practice, , vol. 21(4), pages 111-118, July.
  58. Domian, Dale L. & Louton, David A. & Mossman, Charles E., 1998. "The rise and fall of the "Dogs of the Dow"," Financial Services Review, Elsevier, vol. 7(3), pages 145-159.
  59. Osman Kilic & Joseph M. Marks & Kiseok Nam, 2022. "Predictable asset price dynamics, risk-return tradeoff, and investor behavior," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 749-791, August.
  60. Edmans, Alex, 2011. "Does the stock market fully value intangibles? Employee satisfaction and equity prices," Journal of Financial Economics, Elsevier, vol. 101(3), pages 621-640, September.
  61. Daske, Stefan, 2002. "Winner-Loser-Effekte am deutschen Aktienmarkt," SFB 373 Discussion Papers 2002,87, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  62. Greg Filbeck & Xin Zhao & Ryan Knoll, 2017. "An analysis of working capital efficiency and shareholder return," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 265-288, January.
  63. Olfa Chaouachi & Fatma Wy?me Ben Mrad Douagi, 2014. "Overreaction Effect in the Tunisian Stock Market," Journal of Asian Business Strategy, Asian Economic and Social Society, vol. 4(11), pages 134-140, November.
  64. Levy, Haim & Wiener, Zvi, 2013. "Prospect theory and utility theory: Temporary versus permanent attitude toward risk," Journal of Economics and Business, Elsevier, vol. 68(C), pages 1-23.
  65. Moshirian, Fariborz & Ng, David & Wu, Eliza, 2009. "The value of stock analysts' recommendations: Evidence from emerging markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 74-83, March.
  66. Amini, Shima & Buchner, Axel & Cai, Charlie X. & Mohamed, Abdulkadir, 2020. "Why do firms manage their stock price levels?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
  67. Lee, Namhoon & Choi, Wonseok & Pae, Yuntaek, 2021. "Market efficiency in foreign exchange market," Economics Letters, Elsevier, vol. 205(C).
  68. Ang, Andrew & Gu, Li & Hochberg, Yael V., 2007. "Is Ipo Underperformance a Peso Problem?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(3), pages 565-594, September.
  69. Lin, Mei-Chen & Wu, Chu-Hua & Chiang, Ming-Ti, 2014. "Investor attention and information diffusion from analyst coverage," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 235-246.
  70. Sanjay Sehgal & Sakshi Jain & Pr Laurence the Porteu de la Morandiere, 2013. "Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 53-78.
  71. 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.
  72. Chaoshin Chiao & David Cheng & Welfeng Hung, 2005. "Overreaction after Controlling for Size and Book-to-Market Effects and its Mimicking Portfolio in Japan," Review of Quantitative Finance and Accounting, Springer, vol. 24(1), pages 65-91, January.
  73. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2019. "Long-term price overreactions: are markets inefficient?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 657-680, October.
  74. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2021. "Evolution of price effects after one-day abnormal returns in the US stock market," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  75. L. Spierdijk & J.A. Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," Working Papers 12-07, Utrecht School of Economics.
  76. Amel-Zadeh, Amir & Meeks, Geoff, 2019. "Bidder earnings forecasts in mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 373-392.
  77. Mohamed Ali Trabelsi, 2010. "Overreaction and portfolio-selection strategies in the Tunisian stock market," Journal of Risk Finance, Emerald Group Publishing, vol. 11(3), pages 310-322, May.
  78. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
  79. Dionysia Dionysiou, 2015. "Choosing Among Alternative Long-Run Event-Study Techniques," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 158-198, February.
  80. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, February.
  81. repec:bla:germec:v:7:y:2006:i::p:449-462 is not listed on IDEAS
  82. Thomas Schuster, 2003. "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance 0305009, University Library of Munich, Germany.
  83. Supriya Maheshwari & Raj S. Dhankar, 2017. "Profitability of Volume-based Momentum and Contrarian Strategies in the Indian Stock Market," Global Business Review, International Management Institute, vol. 18(4), pages 974-992, August.
  84. Ferrer Fernández, María & Henry, Ólan & Pybis, Sam & Stamatogiannis, Michalis P., 2023. "Can we forecast better in periods of low uncertainty? The role of technical indicators," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 1-12.
  85. Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021. "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 133(C).
  86. Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 807-824, April.
  87. Ana Paula Serra, 2002. "Event Study Tests: A brief survey," FEP Working Papers 117, Universidade do Porto, Faculdade de Economia do Porto.
  88. Dimitris Kenourgios & Nikolaos Pavlidis, 2005. "Individual Analysts’ Earnings Forecasts: Evidence for Overreaction in the UK Stock Market," Finance 0512011, University Library of Munich, Germany.
  89. Kaniel, Ron & Ozoguz, Arzu & Starks, Laura, 2012. "The high volume return premium: Cross-country evidence," Journal of Financial Economics, Elsevier, vol. 103(2), pages 255-279.
  90. Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
  91. K. Rouwenhorst, 1996. "International Momentum Strategies," Yale School of Management Working Papers ysm36, Yale School of Management, revised 01 Feb 2008.
  92. 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.
  93. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2016. "The day the index rose 11 %: a clinical study on price discovery reversal," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 79-106, January.
  94. Simon Gervais & Ron Kaniel & Dan H. Mingelgrin, 2001. "The High‐Volume Return Premium," Journal of Finance, American Finance Association, vol. 56(3), pages 877-919, June.
  95. Narayan, Paresh Kumar, 2008. "Do shocks to G7 stock prices have a permanent effect?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(4), pages 369-373.
  96. Jing Chi & Carol Padgett, 2002. "The Performance and Long-Run Characteristics of the Chinese IPO Market," ICMA Centre Discussion Papers in Finance icma-dp2002-09, Henley Business School, University of Reading, revised Apr 2002.
  97. 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.
  98. Hisham Farag, 2014. "Investor overreaction and unobservable portfolios: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 24(20), pages 1313-1322, October.
  99. Gunaratne, P. S. M. & Yonesawa, Y., 1997. "Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction," Japan and the World Economy, Elsevier, vol. 9(3), pages 363-384, August.
  100. Sung C. Bae & Kiyoung Chang & Hoje Jo, 2013. "Long-Run Stock and Operating Performance of Underwriter Warrants: Evidence from Seasoned Equity Offerings," International Review of Finance, International Review of Finance Ltd., vol. 13(4), pages 473-501, December.
  101. Michael C. Nwogugu, 2020. "Decision-Making, Sub-Additive Recursive "Matching" Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Pref," Papers 2005.01708, arXiv.org.
  102. Vitali Alexeev & Katja Ignatieva, 2021. "Biases in variance of decomposed portfolio returns," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1152-1178, December.
  103. Lee, Chien-Chiang & Lee, Jun-De & Lee, Chi-Chuan, 2010. "Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks," Japan and the World Economy, Elsevier, vol. 22(1), pages 49-58, January.
  104. Brander, James A. & Egan, Edward J., 2017. "The winner’s curse in acquisitions of privately-held firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 249-262.
  105. Bing Liang, 2000. "Portfolio Formation, Measurement Errors, And Beta Shifts: A Random Sampling Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 261-284, September.
  106. Faccio, Mara & Lasfer, M. Ameziane, 2000. "Do occupational pension funds monitor companies in which they hold large stakes?," Journal of Corporate Finance, Elsevier, vol. 6(1), pages 71-110, March.
  107. Daphne Yan Du & Qianqiu Liu & S. Ghon Rhee, 2009. "An Analysis of the Magnet Effect under Price Limits," International Review of Finance, International Review of Finance Ltd., vol. 9(1‐2), pages 83-110, March.
  108. Michael Dempsey, 2015. "Stock Markets, Investments and Corporate Behavior:A Conceptual Framework of Understanding," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p1007, August.
  109. Kothari, S. P. & Warner, Jerold B., 1997. "Measuring long-horizon security price performance," Journal of Financial Economics, Elsevier, vol. 43(3), pages 301-339, March.
  110. Tavakoli, Manouchehr & McMillan, David & McKnight, Phillip J., 2012. "Insider trading and stock prices," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 254-266.
  111. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  112. Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 1995. "Momentum Strategies," NBER Working Papers 5375, National Bureau of Economic Research, Inc.
  113. Fung, Alexander Kwok-Wah, 1999. "Overreaction in the Hong Kong stock market," Global Finance Journal, Elsevier, vol. 10(2), pages 223-230.
  114. Chen, Ni-Yun & Liu, Chi-Chun, 2023. "The impact of share repurchases on equity finance and performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 198-212.
  115. Jennifer Conrad & Bradford Cornell & Wayne R. Landsman, 2002. "When Is Bad News Really Bad News?," Journal of Finance, American Finance Association, vol. 57(6), pages 2507-2532, December.
  116. Terence Tse & Khaled Soufani, 2001. "Wealth Effects of Takeovers in Merger Activity Eras: Empirical Evidence from the UK," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 8(3), pages 365-377.
  117. Philip Brown & Raymond da Silva Rosa, 1998. "Research Method and the Long†Run Perfor Mance of Acquiring Firms," Australian Journal of Management, Australian School of Business, vol. 23(1), pages 23-38, June.
  118. K. Rouwenhorst, 1996. "International Momentum Strategies," Yale School of Management Working Papers ysm36, Yale School of Management, revised 01 Feb 2008.
  119. Kartick Gupta & Stuart Locke & Frank Scrimgeour, 2013. "Profitability of momentum returns under alternative approaches," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 9(3), pages 219-246, June.
  120. Cormac O’ Keeffe & Liam A. Gallagher, 2017. "The winner-loser anomaly: recent evidence from Greece," Applied Economics, Taylor & Francis Journals, vol. 49(47), pages 4718-4728, October.
  121. Hisham Farag, 2015. "Long-term Overreaction, Regulatory Policies and Stock Market Anomalies: Evidence from Egypt," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 112-139, August.
  122. Liu Wei-qi & Zhang Jingxing, 2018. "BM(book-to-market ratio) factor: medium-term momentum and long-term reversal," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-29, December.
  123. McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 312-329.
  124. Klein, Peter, 2001. "The capital gain lock-in effect and long-horizon return reversal," Journal of Financial Economics, Elsevier, vol. 59(1), pages 33-62, January.
  125. Gil S. Bae, 1996. "Post-Announcement Drifts Associated With Dividend Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 541-559, December.
  126. Mohamed Ali Trabelsi, 2010. "Overreaction and portfolio‐selection strategies in the Tunisian stock market," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 11(3), pages 310-322, May.
  127. Peter S. Yoo, 1994. "Age dependent portfolio selection," Working Papers 1994-003, Federal Reserve Bank of St. Louis.
  128. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
  129. S. M. Locke & Kartick Gupta, 2009. "The return to initial public offerings: a Sino-Indian comparison," Venture Capital, Taylor & Francis Journals, vol. 11(3), pages 255-277, February.
  130. Josef Lakonishok & Inmoo Lee, 1998. "Are Insiders' Trades Informative?," NBER Working Papers 6656, National Bureau of Economic Research, Inc.
  131. Werner F. M. De Bondt & Richard H. Thaler, 1994. "Financial Decision-Making in Markets and Firms: A Behavioral Perspective," NBER Working Papers 4777, National Bureau of Economic Research, Inc.
  132. Yi, Jong-Hwan, 2001. "Pre-offering earnings and the long-run performance of IPOs," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 53-67.
  133. Benoit F. Leleux & Veronique M. Matthys & Julian E. Lange, 1996. "Pricing High Growth Firms: Arbitrage Opportunities in the Inc. 100," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 5(1), pages 43-60, Spring.
  134. Chae, Joon & Kim, Ryumi, 2020. "Contrarian profits of the firm-specific component on stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
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