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Is stock market overreaction persistent over time?

Article Abstract:

A study is conducted to re-test the stock market overreaction hypothesis proposed by DeBondt and Thaler (1985 and 1987) and supported by Chopra, Lakonishok and Ritter (1992). The stability and persistence of this assertion are investigated using data drawn from the monthly CRSP tape for the period 1926-1992. The results indicate that the overreaction hypothesis is most pronounced during the pre-war subperiod and that there is a strong positive relationship between market risk premiums and the arbitrage portfolio returns. Other findings are discussed.

Author: Chen, Carl R., Sauer, David A.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1997
Investors

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The impact of settlement procedures on day-of-the-week effects: evidence from the Kuala Lumpur stock exchange

Article Abstract:

An investigation of a number of daily calendar time anomalies for the Kuala Lumpur Stock Exchange Composite Index revealed its seasonal returns pattern where Mondays generally have negative average returns while Wednesdays and Thursdays have positive average returns. To explain the occurrence of this pattern of returns, closed market effects, spillover effects, size or price effects and the January effects are considered. However, no explanation could be found, thus, making seasonal returns a pure market anomaly.

Author: Clare, A.D., Thomas, S.H., Ibrahim, M.S.B.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1998
Securities industry

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KLSE long run overreaction and the Chinese New Year effect

Article Abstract:

Research into overreaction and seasonality in the returns on stocks traded on Malaysia's Kuala Lumpur Stock Exchange is presented. It is concluded that stocks in the best or worst performing decile show a reversal in performance in the following three years.

Author: Hussain, Simon, Ahmad, Zamri
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2001

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Subjects list: Research, Stock-exchange, Stock exchanges, Exchanges, Kuala Lumpur Stock Exchange Bhd.
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