Assessing the robustness of the overreaction hypothesis in the Australian market

McAllister, Jason C. (1999). Assessing the robustness of the overreaction hypothesis in the Australian market Honours Thesis, Dept. of Commerce, The University of Queensland.

       
Attached Files (Some files may be inaccessible until you login with your UQ eSpace credentials)
Name Description MIMEType Size Downloads
THE14032.pdf Full text application/pdf 9.96MB 0
Author McAllister, Jason C.
Thesis Title Assessing the robustness of the overreaction hypothesis in the Australian market
School, Centre or Institute Dept. of Commerce
Institution The University of Queensland
Publication date 1999
Thesis type Honours Thesis
Total pages 77
Language eng
Subjects 14 Economics
Formatted abstract The last fifty years of financial theory has been built upon the notion that the capital markets are efficient in their incorporation of new information. Under the null hypothesis of market efficiency, publicly available information, such as recent stock performance, cannot be used [0 earn abnormal returns. In apparent contradiction to the efficient market hypothesis, however, a growing Behavioural Finance literature suggests that abnormal profits may be earned from contrarian investment strategies.

The aim of this study is to assess the robustness of such findings across a variety of methodologies employed in the extant literature. Using Australian equity returns, the standard DeBoodt and Thaler (1985) methodology, based on cumulative abnormal returns, detected some evidence of market overreaction. An alternate methodology, however, based on holding period returns and advocated by Conrad and Kaul (1993), did not support these findings. In addition, a range of other methodological variations produced disparate results. Such findings appear to be consistent with the arguments of Fama (1998), that apparent anomalies are likely to be a function of chance, methodological choices and/or "data-snooping," rather than true departures from market efficiency.


 
Citation counts: Google Scholar Search Google Scholar
Access Statistics: 33 Abstract Views, 0 File Downloads  -  Detailed Statistics
Created: Fri, 19 Nov 2010, 14:49:21 EST by Ning Jing on behalf of The University of Queensland Library