Articles liés à Long Term Return Reversals in the Tokyo Stock Exchange

Long Term Return Reversals in the Tokyo Stock Exchange - Couverture souple

Gunaratne, P. S. M.; Yonezawa, Yasuhiro; Hoshino, Yasuo

 
9783659920806: Long Term Return Reversals in the Tokyo Stock Exchange
Couverture souple
ISBN 10 : 3659920800 ISBN 13 : 9783659920806
Editeur : LAP LAMBERT Academic Publishing, 2017

Synopsis

Utilizing Japanese data, this study provides a direct test of the hypothesis of stock market overreaction proposed by DeBondt and Thaler (1985). One of the most exciting implications associated with perceiving investor overreaction in any market is the potential to make arbitrage profits by dealing securities prior to the subsequent correction. The most important academic implication of investigations is the deeper insights that they can provide into the return generating process of securities. Since this research examines how equity returns abnormally depart from the equilibrium expected returns and to what extent they are related to the past returns over relatively long time intervals, it indirectly tests the predictability of stock returns from ex-post returns. Therefore, this study can be subsumed under the general category of efficient market studies. On the other hand, many researchers on stock market overreaction have searched for an empirical regularity that can not explain from the existing asset pricing models. Therefore, studies of this nature can also be categorized in the research on anomalous evidence. Also, this study has association with equilibrium pricing models.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Utilizing Japanese data, this study provides a direct test of the hypothesis of stock market overreaction proposed by DeBondt and Thaler (1985). One of the most exciting implications associated with perceiving investor overreaction in any market is the potential to make arbitrage profits by dealing securities prior to the subsequent correction. The most important academic implication of investigations is the deeper insights that they can provide into the return generating process of securities. Since this research examines how equity returns abnormally depart from the equilibrium expected returns and to what extent they are related to the past returns over relatively long time intervals, it indirectly tests the predictability of stock returns from ex-post returns. Therefore, this study can be subsumed under the general category of efficient market studies. On the other hand, many researchers on stock market overreaction have searched for an empirical regularity that can not explain from the existing asset pricing models. Therefore, studies of this nature can also be categorized in the research on anomalous evidence. Also, this study has association with equilibrium pricing models.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2017
Langue
anglais
ISBN 10 
3659920800
ISBN 13 
9783659920806
Reliure
Broché
Nombre de pages
124
Coordonnées du fabricant
non disponible
Personne responsable
non disponible