This may cause unjustifiable up and down movements in the stock price and enable investors to make irrational, short-term profits. The prices won't reflect the true value of the stock when the market is inefficient and hence this will be followed by a correction in the prices. Persistent ...
In this paper empirical tests for the overreaction and underreaction hypothesis in the Brazilian stock market are presented. For these tests, due to the complexity of these phenomena, a new model based on the fuzzy set theory is proposed... R Aguiar,RM Sales,L Sousa - 《Advances in Intellige...
An ANAR-TGARCH model is adopted in this paper. By using a first-order asymmetric autoregressive mean equation, we conduct a series of robust tests on overreaction and underreaction in the Chinese stock market by taking the abnormal value, run length, time scale, size, industry, style, and ...
Does the Stock Market Overreact? No abstract is available for this item. WFM De Bondt,R Thaler - 《Journal of Finance》 被引量: 1.1万发表: 1985年 A Model of Investor Sentiment Recent empirical research in finance has uncovered two families of pervasive regularities: underreaction of stock ...
1.Experimental Analysis of the Short Time Overreact and Underreact of A Shares in Stock Market of China;中国A股市场短期过度反应与反应不足实证研究 2.Research on Asset Under-reaction and Over-reaction from Categorical Thinking Angle;从类型思维角度探讨资产过度反应与反应不足 ...
These findings have implications for asset allocation decisions and for market makers. For asset allocation they could assist in the timing of asset purchases or sales and suggests that information that is more than two weeks old should be considered. For market makers they potentially provide ...
Inthis dissertation,1 will explore the psychological foundationsandsomenew assumptions ofbehavioralfinance.InPart 2,1 willreviewthestatisticalevidenceof overreaetionandanderreactioninthestockmarket.InPart 3,some explanations and modelsofthese phenomena willbe explored.In thelast part,1 will give a specific...
Share Repurchases as a Tool to Mislead Investors: Evidence from Earnings Quality and Stock Performance Several studies find that share repurchases are associated with positive wealth effects, both in the short- and long-run. By the same token, the credibilit... K Chan,DL Ikenberry,I Lee,......
2 Whereas existing studies of investor inattention focus on the stock market, I focus on the corporate bond market, which has the benefit of exhibiting large cross-sectional variation in the payoff relevance of risks across bonds. As explained earlier, this variation enables the measurement of ...
Heterogeneity in Investor Confidence and Asset Market Under-and Overreaction This paper develops a behavioral finance model that may explain underreaction and overreaction in asset markets from the perspective of heterogeneous inves... J Du - 《Ssrn Electronic Journal》 被引量: 33发表: 2002年 Investor...