Performance measurement in overreaction studies

Whittaker, Mark B. (2002). Performance measurement in overreaction studies Honours Thesis, School of Business, The University of Queensland.

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Author Whittaker, Mark B.
Thesis Title Performance measurement in overreaction studies
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2002
Thesis type Honours Thesis
Total pages 36
Language eng
Subjects 1503 Business and Management
Formatted abstract
This paper analyses measures used to calculate long-horizon abnormal performance within overreaction studies. A simulation study is conducted to document the properties of commonly employed performance measures with the ain1 of providing guidance on the most appropriate method. The bias and mean square error of performance measures is documented along with the size and the power of associated test statistics. The results suggest that the popular index benchmarks used throughout the overreaction literature are severely biased and yield test statistics that are misspecified. In contrast, a matched stock benchmark based on size and industry performs consistently well. Overall, the findings of the simulation have direct implications for overreaction studies and capital market research in general.

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Created: Tue, 16 Nov 2010, 12:38:23 EST by Muhammad Noman Ali on behalf of The University of Queensland Library