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Size, Seasonality, and Stock Market Overreaction

Citations

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Cited by:

  1. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
  2. Saji Thazhungal Govindan Nair, 2021. "On extreme value theory in the presence of technical trend: pre and post Covid-19 analysis of cryptocurrency markets," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 14(4), pages 533-561, December.
  3. Ramzi Boussaidi, 2017. "The winner-loser effect in the Tunisian stock market: A multidimensional risk-based explanation," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(3), pages 178-189, September.
  4. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis," MPRA Paper 42510, University Library of Munich, Germany, revised 18 Sep 2012.
  5. 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.
  6. Chelley-Steeley, Patricia & Siganos, Antonios, 2008. "Momentum profits in alternative stock market structures," Journal of Multinational Financial Management, Elsevier, vol. 18(2), pages 131-144, April.
  7. 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).
  8. Bowman, Robert G. & Iverson, David, 1998. "Short-run overreaction in the New Zealand stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(5), pages 475-491, November.
  9. 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.
  10. 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.
  11. Antonios Antoniou & Emilios C. Galariotis & Spyros I. Spyrou, 2006. "Short‐term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5‐6), pages 839-867, June.
  12. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, February.
  13. 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.
  14. Ramiah, Vikash & Cheng, Ka Yeung & Orriols, Julien & Naughton, Tony & Hallahan, Terrence, 2011. "Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 140-156, January.
  15. 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.
  16. Alan Alford & Daryl M. Guffey, 1996. "A re‐examination of international seasonalities," Review of Financial Economics, John Wiley & Sons, vol. 5(1), pages 1-17, December.
  17. Chen, Carl R. & Sauer, David A., 1997. "Mean reversion in asset returns with varying debt and equity components: Evidence and implications from preferred stock," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 683-696.
  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. 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).
  20. Daniel Chi‐Hsiou Hung & Mark Shackleton & Xinzhong Xu, 2004. "CAPM, Higher Co‐moment and Factor Models of UK Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(1‐2), pages 87-112, January.
  21. Dimitris Kenourgios & Nikolaos Pavlidis, 2005. "Individual Analysts’ Earnings Forecasts: Evidence for Overreaction in the UK Stock Market," Finance 0512011, University Library of Munich, Germany.
  22. 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.
  23. Lasfer, M. Ameziane & Melnik, Arie & Thomas, Dylan C., 2003. "Short-term reaction of stock markets in stressful circumstances," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 1959-1977, October.
  24. Pasaribu, Rowland Bismark Fernando, 2010. "Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45 [Overreaction Anomaly in Indonesia Stock Exchange: Case Study of LQ-45 Stocks]," MPRA Paper 36998, University Library of Munich, Germany.
  25. 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.
  26. Liu, Chao-Shin & Ziebart, David A., 1999. "Anomalous security price behavior following management earnings forecasts," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 405-429, October.
  27. Zivney, Terry L. & Bertin, William J. & Torabzadeh, Khalil M., 1996. "Overreaction to takeover speculation," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(1), pages 89-115.
  28. Kang, Joseph & Liu, Ming-Hua & Ni, Sophie Xiaoyan, 2002. "Contrarian and momentum strategies in the China stock market: 1993-2000," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 243-265, June.
  29. Klaudia Radoczy & Akos Toth-Pajor, 2021. "Investors' Reactions to Extreme Events in the Hungarian Stock Market," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 20(3), pages 5-30.
  30. 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.
  31. 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.
  32. Alves, Paulo & Carvalho, Luís, 2020. "Recent evidence on international stock market’s overreaction," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
  33. 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.
  34. Dissanaike, Gishan, 1996. "Are stock price reversals really asymmetric? A note," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 189-201, January.
  35. Casey, K. Michael & Dickens, Ross N., 2000. "The effects of tax and regulatory changes on commercial bank dividend policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 279-293.
  36. 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.
  37. Foort, HAMELINK, 1998. "Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse," HEC Research Papers Series 655, HEC Paris.
  38. Zhang, Bing & Zhou, Yun, 2015. "Asymmetries in stock marketsAuthor-Name: Wang, Peijie," European Journal of Operational Research, Elsevier, vol. 241(3), pages 749-762.
  39. 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.
  40. Marco Mele, 2014. "On Asset Allocation’ Studies for Sovereign Wealth Funds," International Journal of Financial Economics, Research Academy of Social Sciences, vol. 2(4), pages 169-180.
  41. 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.
  42. Saeid Tajdini & Ali Taiebnia & Mohsen Mehrara, 2023. "Reconsideration of behavioral biases in financial markets: comparison of the S&P500 index and TEPIX index of Tehran Stock Exchange," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 28(4), pages 705-711, December.
  43. Brammer, Stephen & Brooks, Chris & Pavelin, Stephen, 2009. "The stock performance of America's 100 Best Corporate Citizens," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1065-1080, August.
  44. D. E. Allen & Robert Prince, 1995. "The winner/loser hypothesis: some preliminary Australian evidence on the impact of changing risk," Applied Economics Letters, Taylor & Francis Journals, vol. 2(8), pages 280-283.
  45. Vladimir Petrov & Anton Golub & Richard Olsen, 2019. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time," JRFM, MDPI, vol. 12(2), pages 1-31, April.
  46. Christophe Morel, 2001. "Stock selection using a multi-factor model - empirical evidence from the French stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 312-334.
  47. Riza Praditha & Haliah & Abdul Hamid Habbe & Yohanis Rura, 2019. "Market Overreaction on LQ45 Stock Index before and after Asian Games 2018," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 9(2), pages 117-125, April.
  48. Baytas, Ahmet & Cakici, Nusret, 1999. "Do markets overreact: International evidence," Journal of Banking & Finance, Elsevier, vol. 23(7), pages 1121-1144, July.
  49. Galariotis, Emilios C. & Holmes, Phil & Ma, Xiaodong S., 2007. "Contrarian and momentum profitability revisited: Evidence from the London Stock Exchange 1964-2005," Journal of Multinational Financial Management, Elsevier, vol. 17(5), pages 432-447, December.
  50. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  51. Marco Mele, 2014. "Open-End Fund Performance Persistence: A Study on KC Libra Fund," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 3(1), pages 1-8.
  52. Fung, Alexander Kwok-Wah, 1999. "Overreaction in the Hong Kong stock market," Global Finance Journal, Elsevier, vol. 10(2), pages 223-230.
  53. Viktor Manahov & Mona Soufian & Robert Hudson, 2014. "The Implications Of Trader Cognitive Abilities On Stock Market Properties," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 21(1), pages 1-18, January.
  54. 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.
  55. Parhizgari, A.M. & Nguyen, D., 2008. "ADRs under momentum and contrarian strategies," Global Finance Journal, Elsevier, vol. 19(2), pages 102-122.
  56. 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.
  57. Kassimatis, Konstantinos & Spyrou, Spyros & Galariotis, Emilios, 2008. "Short-term patterns in government bond returns following market shocks: International evidence," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 903-924, December.
  58. 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.
  59. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Overreaction and underreaction on the BUCHAREST STOCK EXCHANGE," MPRA Paper 41555, University Library of Munich, Germany, revised 25 Sep 2012.
  60. Fung, Michael K. & Cheng, Louis T.W. & Shen, Jianfu, 2024. "Do media message receivers asymmetrically react to non-strategic and strategic media coverage? Evidence from Hong Kong," Research in International Business and Finance, Elsevier, vol. 70(PA).
  61. Baur, Robert Frederick, 1992. "Overreaction in futures markets," ISU General Staff Papers 1992010108000010973, Iowa State University, Department of Economics.
  62. Tuttle, Brad & Coller, Maribeth & Burton, F. Greg, 1997. "An examination of market efficiency: Information order effects in a laboratory market," Accounting, Organizations and Society, Elsevier, vol. 22(1), pages 89-103, January.
  63. 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.
  64. 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.
  65. Gaunt, Clive, 2000. "Overreaction in the Australian equity market: 1974-1997," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 375-398, July.
  66. Yu, Huaibing, 2022. "Does sustainable competitive advantage make a difference in stock performance during the Covid-19 pandemic?," Finance Research Letters, Elsevier, vol. 48(C).
  67. 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.
  68. Atakan Yalcýn & Nuri Ersahin, 2010. "Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange," Koç University-TUSIAD Economic Research Forum Working Papers 1025, Koc University-TUSIAD Economic Research Forum.
  69. 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.
  70. Stuart Locke & Kartick Gupta, 2009. "Applicability of Contrarian Strategy in the Bombay Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(2), pages 165-189, May.
  71. Lee, King Fuei, 2021. "An Anomaly within an Anomaly: The Halloween Effect in the Long-term Reversal Anomaly," MPRA Paper 110859, University Library of Munich, Germany.
  72. 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.
  73. 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.
  74. Qiwei Chen & Ying Jiang & Yuan Li, 2012. "The state of the market and the contrarian strategy: evidence from China's stock market," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 10(1), pages 89-108, September.
  75. 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.
  76. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP) dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  77. L. Franklin Fant & David R. Peterson, 1995. "The Effect Of Size, Book-To-Market Equity, Prior Returns, And Beta On Stock Returns: January Versus The Remainder Of The Year," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 129-142, June.
  78. 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.
  79. Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies [Portfolio selection: comparison of different strategies]," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
  80. Ushad Agathee Subadar & Muhammad Anas Hossenbaccus A.R., 2010. "Profitability of Contrarian Strategies: Evidence from the Stock Exchange of Mauritius," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 1(2).
  81. Gerlich, Nikolas & Rostek, Stefan, 2015. "Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 84-98.
  82. Dao, Thong M. & McGroarty, Frank & Urquhart, Andrew, 2016. "A calendar effect: Weekend overreaction (and subsequent reversal) in spot FX rates," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 158-167.
  83. Stavros Thomadakis & Dimitrios Gounopoulos & Christos Nounis & Andreas Merikas, 2016. "Collateral Regulation and IPO†Specific Liberalisation: the Case of Price Limits in the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 22(2), pages 276-312, March.
  84. Alford, Alan & Guffey, Daryl M., 1996. "A re-examination of international seasonalities," Review of Financial Economics, Elsevier, vol. 5(1), pages 1-17.
  85. 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.
  86. Blackburn, Douglas W. & Cakici, Nusret, 2017. "Overreaction and the cross-section of returns: International evidence," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 1-14.
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