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A NOTE ON THE BEHAVIOR OF SECURITY RETURNS: A TEST OF STOCK MARKET OVERREACTION AND EFFICIENCY
Author(s) -
Davidson Wallace N.,
Dutia Dipa
Publication year - 1989
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1989.tb00517.x
Subject(s) - market efficiency , stock market , economics , stock (firearms) , efficient market hypothesis , security market , investment (military) , financial economics , monetary economics , excess return , finance , biology , mechanical engineering , paleontology , context (archaeology) , horse , politics , political science , law , engineering
Researchers have debated stock market efficiency for years and have found several apparent anomalies, among them the overreaction investment strategy. In a sample of virtually all AMEX and NYSE stocks over twenty‐one years, it is demonstrated that abnormal returns earned in one year are positively related to the abnormal returns earned in the next year. This evidence is contrary to the overreaction investment philosophy.