Continuing Overreaction and Stock Return Predictability

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We study the return predictability of a measure of continuing overreaction based on the weighted average of signed volumes. We find that the strategies of buying stocks with upward continuing overreaction and selling stocks with downward continuing overreaction generate significant positive returns and that our measure of continuing overreaction is a better predictor of future returns than past returns. The results are stronger among stocks primarily held by investors more prone to biased self-attribution. Our results provide direct support for the model of return predictability based on overconfidence and biased self-attribution.
Publisher
CAMBRIDGE UNIV PRESS
Issue Date
2016-12
Language
English
Article Type
Article
Keywords

TRADING VOLUME; CROSS-SECTION; MOMENTUM STRATEGIES; MARKET-EFFICIENCY; SECURITY RETURNS; PAST RETURNS; PRICE; RISK; OVERCONFIDENCE; ATTRIBUTIONS

Citation

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, v.51, no.6, pp.2015 - 2046

ISSN
0022-1090
DOI
10.1017/S0022109016000594
URI
http://hdl.handle.net/10203/220745
Appears in Collection
MT-Journal Papers(저널논문)
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