Continuing Overreaction and Stock Return Predictability

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dc.contributor.authorByun, Suk Joonko
dc.contributor.authorLim, Sonya S.ko
dc.contributor.authorYun, Sang Hyunko
dc.date.accessioned2017-03-28T05:36:11Z-
dc.date.available2017-03-28T05:36:11Z-
dc.date.created2017-02-14-
dc.date.created2017-02-14-
dc.date.issued2016-12-
dc.identifier.citationJOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, v.51, no.6, pp.2015 - 2046-
dc.identifier.issn0022-1090-
dc.identifier.urihttp://hdl.handle.net/10203/220745-
dc.description.abstractWe 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.-
dc.languageEnglish-
dc.publisherCAMBRIDGE UNIV PRESS-
dc.subjectTRADING VOLUME-
dc.subjectCROSS-SECTION-
dc.subjectMOMENTUM STRATEGIES-
dc.subjectMARKET-EFFICIENCY-
dc.subjectSECURITY RETURNS-
dc.subjectPAST RETURNS-
dc.subjectPRICE-
dc.subjectRISK-
dc.subjectOVERCONFIDENCE-
dc.subjectATTRIBUTIONS-
dc.titleContinuing Overreaction and Stock Return Predictability-
dc.typeArticle-
dc.identifier.wosid000391947900010-
dc.identifier.scopusid2-s2.0-85007337614-
dc.type.rimsART-
dc.citation.volume51-
dc.citation.issue6-
dc.citation.beginningpage2015-
dc.citation.endingpage2046-
dc.citation.publicationnameJOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS-
dc.identifier.doi10.1017/S0022109016000594-
dc.contributor.localauthorByun, Suk Joon-
dc.contributor.nonIdAuthorLim, Sonya S.-
dc.contributor.nonIdAuthorYun, Sang Hyun-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordPlusTRADING VOLUME-
dc.subject.keywordPlusCROSS-SECTION-
dc.subject.keywordPlusMOMENTUM STRATEGIES-
dc.subject.keywordPlusMARKET-EFFICIENCY-
dc.subject.keywordPlusSECURITY RETURNS-
dc.subject.keywordPlusPAST RETURNS-
dc.subject.keywordPlusPRICE-
dc.subject.keywordPlusRISK-
dc.subject.keywordPlusOVERCONFIDENCE-
dc.subject.keywordPlusATTRIBUTIONS-
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