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| Tekijä: | Ajayi, R. Mehdian, S. |
| Otsikko: | Rational investor's reaction to uncertainty: evidence from the world's major markets |
| Lehti: | Journal of Business Finance and Accounting
1994 : JUN, VOL. 21:4, p. 533-545 |
| Asiasana: | UNCERTAINTY RATIONALITY INVESTORS |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the reaction of rational investors to unexpected information across the world's major markets. The empirical results provide considerable support for the Uncertain Information Hypothesis and limited support for the Overreaction Hypothesis. In addition, it is found that investors are compensated for post-event increased volatility across these major markets. Further evidence of investor irrationality is the apparent discovery that investors overreact in the short term to the news of major financial events. |
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