Long-term market overreaction: The effect of low-priced stocks

• 成果类型: Article
• 署名作者: Loughran, T; Ritter, JR
• 署名单位: State University System of Florida; University of Florida
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329546
• 发表日期: 1996
• 页码: 1959-1970
• 关键词: consistent covariance-matrix; COMPUTED RETURNS; COMMON-STOCKS; performance; heteroskedasticity; seasonality; biases; tests; RISK

摘要

Conrad and Kaul (1993) report that most of De Bondt and Thaler's (1985) long-term overreaction findings can be attributed to a combination of bid-ask effects when monthly cumulative average returns (CARs) are used, and price, rather than prior returns. In direct tests, we find little difference in test-period returns whether CARs or buy-and-hold returns are used, and that price has little predictive ability in cross-sectional regressions. The difference in findings between this study and Conrad and Kaul's is primarily due to their statistical methodology. They confound cross-sectional patterns and aggregate time-series mean reversion, and introduce a survivor bias. Their procedures increase the influence of price at the expense of prior returns.