Download or read book The Overreaction Hypothesis and Stock Market Efficiency written by Gishan Romesh Dissanaike and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Contemporary Relevance of Karl Marx s Political Economy written by Phil O'Hara and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Re examination of the Firm size Explanation of the Overreaction Hypothesis written by Robert L. Albert and published by . This book was released on 1992 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Market Efficiency and the Overreaction Hypothesis written by Dominic Konstam and published by . This book was released on 1991 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Test of the Overreaction Hypothesis written by Robin John Limmack and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Overreaction Hypothesis written by Barry O'Grady and published by . This book was released on 2006-08-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing the Overreaction Hypothesis in the UK Stock Market by Using Inter Intra Industry Contrarian Strategies written by Angelos Pepelas and published by . This book was released on 2009 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study mainly supports the Overreaction Hypothesis in the Inter-industry and the intra-sector environment of the UK stock market. Firstly, it contradicts Haugen, (1996) plausible hypothesis that long-term reversals should not exist when value-weighted industry indexes are used in order to find it. Secondly, it is opposite to Kothari et al. (1995) results that long-term reversals are a result of the survivorship bias. Thirdly, our inter-industry results do not support the argument that the size effect is the main reason why long-term reversals occur in the stock market. Fourthly, the volatility tests do not support the claim that the excess profits coming from this inter-industry contrarian strategy are a risk premium. After all, if these excess inter-industry contrarian profits where truly a risk premium then losers should constantly be riskier in all volatility tests we ran. Fifthly and most importantly, our study supports the hypothesis that the inter-industry contrarian strategy using equally-weighted winner-loser portfolios consisted of value-weighted industry indexes leads to lower contrarian profits than these of the intra-industry contrarian strategy that uses equally-weighted winner-loser portfolios consisted of stocks. Possibly, the former strategy captures a lower level of arbitrage risk and a smaller dispersion of heterogeneous beliefs than the latter strategy does. Sixthly, our study supports the hypothesis that the further (less) investors look stock prices in the past, the more (less) they overreact to them creating higher (lower) long-term reversals. Both last hypotheses (five, six) support the main prediction of the overreaction Hypothesis.
Download or read book A Simulation and Analysis of the Overreaction Hypothesis Market Anomaly as an Investment Strategy for Individual and Hedge Fund Investors written by Marc Francis LoGrasso and published by . This book was released on 2008 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study revisited the overreaction hypothesis studied by DeBondt and Thaler (1985) to determine its suitability as a strategy for private investment. Using their same filters from January 1986 through January 2004, prior NYSE losers only outperformed prior NYSE winners by 0.02% over the subsequent three years. The inclusion of AMEX and NASDAQ stocks resulted in a cumulative abnormal return differential of 28.60%; this difference increased to 34.85% when the requirement of preexisting data was reduced from seven years to five years. Qualitatively similar results were found when the analysis shifted from looking at cumulative abnormal returns to looking at buy-and-hold returns. While the buy-and-hold return results faced significant exposure to market, size, book-to-market, and momentum-based risk, the explanatory power of models incorporating these factors was relatively low (maximum 13.82%), and there still existed significant risk-adjusted returns as determined by the intercept of the regressions of up to 0.824% per month. Additionally, breaking down the factor analysis to be run on the losers and winners separately showed that both losers and winners experienced reversals in their returns and that these reversals were stronger in the winners than the losers. An investor looking to exploit these return differences could earn up to 51.44% over a three-year period, 23.22% of which would be considered risk-adjusted return, by using the maximum amount of leverage allowed by Regulation T. If this investor desires to instead invest in a hypothetical hedge fund following this same strategy, he could still earn 32.54% over three years, 11.52% of which would be risk-adjusted, while the hedge fund manager extracts 17.92% of the initial investment over the same three-year period in the form of management and performance fees. While the institutional constraints in place designed to protect investors who engage in the type of short selling required to implement this strategy succeed in reducing the investor's general exposure to various risk factors, the legal use of maximum leverage actually eliminates most of the risk-reducing benefits of these constraints without providing compensation in the form of additional returns (either on a raw or risk-adjusted basis). Even though the initial study was published in 1985, there is little evidence that arbitrageurs have reduced the difference in the returns between prior losers and winners. There also appears to be a pronounced January effect in the returns to investing by this strategy. Finally, there is no indication of the extent to which this strategy is followed in practice.
Download or read book Risk Return Relationship and Portfolio Management written by Raj S. Dhankar and published by Springer Nature. This book was released on 2019-10-24 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
Download or read book Overreaction Hypothesis written by Julija Meirane and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Overreaction Implementation of the Coherent Market Hypothesis and Option Pricing written by Rainer Schöbel and published by . This book was released on 2006 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical tests of the overreaction hypothesis for the German stock market written by Detlev Stock and published by . This book was released on 1988 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
Download or read book Overreaction Hypothesis and Winner loser Effect in Indian Stock Market Returns written by T. P. Madhusoodanan and published by . This book was released on 1995 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Overreaction Hypothesis written by Oleksiy Plastun and published by . This book was released on 2014 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis confirms the hypothesis that after an abnormal price movement the size of contrarian price movement is usually higher then after normal (typical) daily fluctuation. Comparing Ukrainian data with the figures from US stock market it is concluded that the Ukrainian stock market is less efficient which gives rise to opportunities for extra profits obtained from trading based on contrarian strategies. Based on results of the research we also recommend some rules of trading on short-term market overreactions.
Download or read book Winners and Losers written by Andrew D. Clare and published by . This book was released on 1992 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Short term Over Underreaction Hypothesis written by Amira Yasser Ragab and published by . This book was released on 2014 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The overreaction hypothesis, as postulated by De Bondt and Thaler (1985) dictates that "stocks that have performed poorly in the past (loser stocks) tend to outperform stocks that have performed well in the past (winner stocks)" (DeBondt, et al., 1985). On the other hand, the under-reaction hypothesis argues that stock's return shows momentum, whereby winner stocks continue to exhibit high returns in future periods, reflecting tendency of investors to under-weigh the extent of new information. The aim of this thesis is to investigate whether short-term overreaction or under-reaction appears in the Egyptian Exchange (EGX) over the period of January 1998 to December 2013, making this the first attempt to test these market anomalies in an Arab stock market. The thesis surveys the overreaction/under-reaction literature focusing on the differences in methodologies and results across the various sample markets and timeframes. The thesis compares two standard methodologies in the literature, that of Ali et al (2011) and Clare & Thomas (1995), to test the overreaction/under-reaction hypothesis over various holding periods ranging from one week to 52 weeks. The analysis reveals that while short-term overreaction doesn't exist in the Egyptian Exchange, there is statistically significant evidence of under-reaction for the holding periods of one to four weeks. This motivates further tests to establish the profitability of utilizing this evidence of under-reaction by applying a momentum strategy that invests in winner stocks. The results show that while a momentum strategy can provide significant abnormal returns of up to 0.885% over a holding period of four weeks, when trading costs are taken into account, the profitability of the momentum strategy becomes insignificant. The thesis further analyzes whether size of the company can explain the evidence of under-reaction. This is done on the basis of creating portfolios with large and small capitalization stocks. For large capitalization stocks, an under-reaction that is statistically significant over holding periods from 1 to 3 weeks is found. The overall result for this thesis suggests that while evidence of under-reaction appears for Egyptian listed stocks, this is concentrated in large firms. Investor, however, cannot profit from this market anomaly by applying a momentum strategy since after taking into account trading costs involved in trading Egyptian stocks, the profitability of this strategy diminishes.
