DC Field | Value | Language |
---|---|---|
dc.contributor.author | Byun, Suk Joon | ko |
dc.contributor.author | Lim, Sonya S. | ko |
dc.contributor.author | Yun, Sang Hyun | ko |
dc.date.accessioned | 2017-03-28T05:36:11Z | - |
dc.date.available | 2017-03-28T05:36:11Z | - |
dc.date.created | 2017-02-14 | - |
dc.date.created | 2017-02-14 | - |
dc.date.issued | 2016-12 | - |
dc.identifier.citation | JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, v.51, no.6, pp.2015 - 2046 | - |
dc.identifier.issn | 0022-1090 | - |
dc.identifier.uri | http://hdl.handle.net/10203/220745 | - |
dc.description.abstract | 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. | - |
dc.language | English | - |
dc.publisher | CAMBRIDGE UNIV PRESS | - |
dc.subject | TRADING VOLUME | - |
dc.subject | CROSS-SECTION | - |
dc.subject | MOMENTUM STRATEGIES | - |
dc.subject | MARKET-EFFICIENCY | - |
dc.subject | SECURITY RETURNS | - |
dc.subject | PAST RETURNS | - |
dc.subject | PRICE | - |
dc.subject | RISK | - |
dc.subject | OVERCONFIDENCE | - |
dc.subject | ATTRIBUTIONS | - |
dc.title | Continuing Overreaction and Stock Return Predictability | - |
dc.type | Article | - |
dc.identifier.wosid | 000391947900010 | - |
dc.identifier.scopusid | 2-s2.0-85007337614 | - |
dc.type.rims | ART | - |
dc.citation.volume | 51 | - |
dc.citation.issue | 6 | - |
dc.citation.beginningpage | 2015 | - |
dc.citation.endingpage | 2046 | - |
dc.citation.publicationname | JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | - |
dc.identifier.doi | 10.1017/S0022109016000594 | - |
dc.contributor.localauthor | Byun, Suk Joon | - |
dc.contributor.nonIdAuthor | Lim, Sonya S. | - |
dc.contributor.nonIdAuthor | Yun, Sang Hyun | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordPlus | TRADING VOLUME | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | MOMENTUM STRATEGIES | - |
dc.subject.keywordPlus | MARKET-EFFICIENCY | - |
dc.subject.keywordPlus | SECURITY RETURNS | - |
dc.subject.keywordPlus | PAST RETURNS | - |
dc.subject.keywordPlus | PRICE | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | OVERCONFIDENCE | - |
dc.subject.keywordPlus | ATTRIBUTIONS | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.