Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction

P. S.M. Gunaratne, Y. Yonesawa

研究成果: Article査読

14 被引用数 (Scopus)

抄録

Some authors attribute the extreme movements in stock returns to market overreaction. In this paper, we examine this controversial hypothesis in the Tokyo Stock Exchange through portfolios formed on the basis of previous four-year returns. We find that the extreme losers outperform the extreme winners by 11% per annum in terms of risk-adjusted abnormal returns during the subsequent period. It is controversial whether these abnormal returns are due to overreaction by the investor. However, our evidence suggests that this is an independent phenomenon from monthly seasonal stock returns. It has also been a frequent phenomenon with some ups and downs along the way in the market during our sampling period from 1955 to 1990.

本文言語English
ページ(範囲)363-384
ページ数22
ジャーナルJapan and The World Economy
9
3
DOI
出版ステータスPublished - 1997 8
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学
  • 政治学と国際関係論

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