This study examines whether the Hong Kong stock market overreacts. By using monthly return data of all the common stocks listed on the Hong Kong Stock Exchange from January to December , it examines the profitability of a contrarian strategy of buying prior losers and selling prior winners. The evidence shows that prior losers outperform prior winners by up to Our result is consistent with that documented by Debondt and Thaler for the U.
|Published (Last):||7 December 2012|
|PDF File Size:||7.73 Mb|
|ePub File Size:||7.22 Mb|
|Price:||Free* [*Free Regsitration Required]|
This paper reviews  the psychological literature on Bayesian decision-making and intuitive prediction;  the arguments that overreaction by individuals is likely to matter at the market level;  the evidence on short-term and long-term price reversals. The research findings are compared with the predictions of standard theories of asset pricing and market efficiency. Unable to display preview.
Arkes, H. Dawes and C. Christensen, , Factors influencing the use of a decision rule in a probabilistic task, Organizational Behavior and Human Decision Processes 37, 93— CrossRef Google Scholar. Ball, R. Barro, R. Fisher, , Recent developments in monetary theory, Journal of Monetary Economics 2, — Basu, S. Bazerman, M. Becker, G. Black, F. Branch, B. Brehmer, B. Kuylenstierna, , Task information and performance in probabilistic inference tasks, Organizational Behavior and Human Performance 22, — Bremer, M.
Sweeney, , The information content of extreme negative rates of return, working paper, Claremont McKenna College February. Brooks, L. Buckmaster, , Further evidence on the time-series properties of accounting income, Journal of Finance 31 December , — Brown, K. Harlow, , Assessing the magnitude and intensity of stock market overreaction, Journal o fPortfolio Management, forthcoming.
Harlow and S. Tinic, , Risk aversion, uncertain information, and market efficiency, working paper, University of Texas at Austin January. Camerer, C. Experimental evidence, American Economic Review 77 December , — Campbell, J. Kyle, , Smart money, noise trading and stock price behavior, working paper, Princeton University September.
Shiller, , Stock prices, earnings and expected dividends, working paper, Princeton University December. Cass, D. Shell, , Do sunspots matter? Chan, K. Chapman, L. Chapman, , Genesis of popular but erroneous psychodiagnostic observations, Journal of Abnormal Psychology 72 June , — Cook, T.
Cutler, D. Poterba and L. Summers, , What moves stock prices? Dark, F. Kato, , Stock market overreaction in the Japanese stock market, working paper, Iowa State University.
Dawes, R. De Bondt, W. Ithaca, New York: Ph. Dissertation, Cornell University January. Thaler, , Does the stock market overreact? Thaler, , Further evidence on investor overreaction and stock market seasonality, Journal of Finance 42 July , — De Long, J. Shleifer, L. Summers and R. Waldman, , The economic consequences of noise traders, working paper, University of Chicago September. Dowen, R. Dyl, E. Maxfield, , Does the stock market overreact? Additional evidence, working paper, University of Arizona June.
Eggleton, I. Einhorn, H. Wallsten, ed. Hogarth, , Confidence in judgment: Persistence of the illusion of validity, Psychological Review 85, — Fama, E.
French, , Common factors in the serial correlation of stock returns, working paper, Graduate School of Business, University of Chicago October. French, , Permanent and temporary components of stock prices, working paper, Graduate School of Business, University of Chicago February.
Journal of Political Economy, forthcoming. Figlewski, S. Fischhoff, B. French, K. Roll, , Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics 17 September , 5— Gilovich, T.
Vallone and A. Tversky, , The hot hand in basketball: On the misperception of random sequences, Cognitive Psychology 17 July , — Givoly, D. Graham, B. Dodd with C. Tatham, Jr. Grether, D. Harrison, J. Kreps, , Speculative investor behavior in a stock market with heterogeneous expectations, Quarterly Journal of Economics 92 May , — Haugen, R. Hogarth, R. Howe, J. Jarrell, G.
Peltzman, , The impact of product recalls on the wealth of sellers, in P. Ippolito and D. Jarrow, R. Jegadeesh, N. Jones, S. Kahneman, D.
Does the Stock Market Overreact?
Does the Hong Kong Stock Market Overreact?
Werner F. De Bondt is one of the founders in the field of behavioral finance. He is also the founding director of Richard H. He is a native of Belgium and an alumnus of Hagelstein St. He subsequently earned an M. From Wikipedia, the free encyclopedia.
Stock Price Reversals and Overreaction to News Events: A Survey of Theory and Evidence