MEASURING ABNORMAL PERFORMANCE - DO STOCKS OVERREACT
成果类型：
Article
署名作者：
CHOPRA, N; LAKONISHOK, J; RITTER, JR
署名单位：
University of Illinois System; University of Illinois Urbana-Champaign
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(92)90005-I
发表日期：
1992
页码：
235-268
关键词：
摘要：
A highly controversial issue in financial economics is whether stocks overreact. In this paper we find an economically-important overreaction effect even after adjusting for size and beta. In portfolios formed on the basis of prior five-year returns, extreme prior losers outperform extreme prior winners. by 5-10% per year during the subsequent five years. Although we find a pronounced January seasonal, our evidence suggests that the overreaction effect is distinct from tax-loss selling effects. Interestingly, the overreaction effect is substantially stronger for smaller firms than for larger firms. Returns consistent with the overreaction hypothesis are also observed for short windows around quarterly earnings announcements.