The impact of size, price and seasonality on market overreaction

Glynn, Shane. (2000). The impact of size, price and seasonality on market overreaction Honours Thesis, School of Business, The University of Queensland.

       
Attached Files (Some files may be inaccessible until you login with your UQ eSpace credentials)
Name Description MIMEType Size Downloads
THE14583.pdf Full text application/pdf 11.53MB 0
Author Glynn, Shane.
Thesis Title The impact of size, price and seasonality on market overreaction
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2000
Thesis type Honours Thesis
Total pages 54
Language eng
Subjects 14 Economics
Formatted abstract The empirical research on the stock market overreaction anomaly over the past two decades has been mixed. Recent research has suggested that the abnormal returns from buying loser and selling winner stocks in a contrarian strategy are nonexistent after controlling for well-known anomalies and/or methodological flaws. The impact of risk, size, price and seasonality effects are examined to see whether a market overreaction exists in Australia. The thesis report after using the DeBondt and Thaler (1985) methodology of cumulative abnormal returns, that a market overreaction is detected. After applying Chan's (1988) method of adjusting risk, abnormal returns were still detected. An alternative methodology, based on holding period returns continued to advocate evidence of a market overreaction after controlling for size, price and seasonality.

 
Citation counts: Google Scholar Search Google Scholar
Access Statistics: 134 Abstract Views, 0 File Downloads  -  Detailed Statistics
Created: Wed, 27 Oct 2010, 13:34:49 EST by Ning Jing on behalf of Social Sciences and Humanities Library Service