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| Tekijä: | Davidson, W. N. Dutia, D. |
| Otsikko: | A note on the behavior of security returns: a test of stock market overreaction and efficiency. |
| Lehti: | Journal of Financial Research
1989 : AUTUMN, VOL. 12:3, p. 245-252 |
| Asiasana: | STOCK MARKETS RATE OF RETURN |
| Kieli: | eng |
| Tiivistelmä: | Economists have debated stock market efficiency for several years and have discovered several anomalies, e.g. the overreaction investment strategy. In a sample of almost all AMEX and NYSE stocks over 21 years the authors prove that abnormal returns earned in a year are positively correlated to those earned in the next year. This is inconsistent with the overreaction investment philosophy. |
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