Detail Return Reversals in The Tokyo Stock Exchange : A Test of Stock Market Overreaction   Oleh:  Yonesawa, Y. ; Gunaratne, P. S. M. Jenis: Article from Bulletin/Magazine Dalam koleksi: JAPAN AND THE WORLD ECONOMY vol. 9 no. 3 (1997), page 363-384. Topik: stock market; return reversals; tokyo stock exchange; stock market Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ47.7 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel Some authors attribute the extreme movements in stock returns to market overreaction. In this paper, we examine this controversial hypothesis in the Tokyo Stock Exchange through portfolios formed on the basis of previous four - year returns. We find that the extreme losers outperform the extreme winners by 11 % per annum in terms of risk-adjusted abnormal returns during the subsequent period. It is controversial whether these abnormal returns are due to overreaction by the investor. However, our evidence suggests that this is an independent phenomenon from monthly seasonal stock returns. It has also been a frequent phenomenon with some ups and downs along the way in the market during our sampling period from 1955 to 1990. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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