LONG-TERM MARKET OVERREACTION OR BIASES IN COMPUTED RETURNS

• 成果类型: Article
• 署名作者: CONRAD, J; KAUL, G
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1993.tb04701.x
• 发表日期: 1993
• 页码: 39-63
• 关键词: EXPECTED RETURNS; stock-prices; seasonality; size; EFFICIENCY; BEHAVIOR; premium; tests

摘要

We show that the returns to the typical long-term contrarian strategy implemented in previous studies are upwardly biased because they are calculated by cumulating single-period (monthly) returns over long intervals. The cumulation process not only cumulates ''true returns but also the upward bias in single-period returns induced by measurement errors. We also show that the remaining ''true'' returns to loser or winner firms have no relation to overreaction. This study has important implications for event studies that use cumulative returns to assess the impact of information events.