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 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 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 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 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 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 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 Quantitative Momentum written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2016-10-03 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.
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 The Overreaction Hypothesis and the UK Stock Market written by Conall Michael Keogh and published by . This book was released on 1996 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 James Ryan and published by . This book was released on 1999 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
