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- Yuehao Lin & Thorsten Lehnert (2020): A note on Stein’s overreaction puzzle
(Rev Financ Stud 26(8):1963–2006, 2013) argue that the overreaction puzzle of Stein (J Finance 44(4):1011–1023, 1989) can be explained by a variance-dependent pricing kernel. ... We show theoretically that the persistence of the volatility cannot amplify the movements of long-term variance to short-term fluctuations in variance and, therefore, conclude that Stein’s overreaction puzzle is still unsolved.
RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00244-z Save to MyIDEAS - Guglielmo Maria Caporale & Alex Plastun (2019): Price overreactions in the cryptocurrency market
Purpose - The purpose of this paper is to examine price overreactions in the case of the following cryptocurrencies: bitcoin, litecoin, ripple and dash. Design/methodology/approach - A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–WhitneyU-test) tests confirm the presence of price patterns after overreactions: the next day price changes in both directions are bigger than after “normal” days. ... Findings - The results suggest that a strategy based on counter-movements after overreactions is not profitable, whilst one based on inertia appears to be profitable but produces outcomes not statistically different from the random ones. Therefore, the overreactions detected in the cryptocurrency market do not give rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be seen as evidence against the efficient market hypothesis (EMH). Originality/value - The overreactions detected in the cryptocurrency market do not give rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be seen as evidence against the EMH.
RePEc:eme:jespps:jes-09-2018-0310 Save to MyIDEAS - Chevapatrakul, Thanaset & Mascia, Danilo V. (2019): Detecting overreaction in the Bitcoin market: A quantile autoregression approach
The evidence points to overreaction in the Bitcoin market: investors overreact during days of sharp declines in the Bitcoin price and during weeks of market rallies.
RePEc:eee:finlet:v:30:y:2019:i:c:p:371-377 Save to MyIDEAS - Loc Dong Truong & Giang Ngan Cao & H. Swint Friday & Nhien Tuyet Doan (2023): Overreaction in a Frontier Market: Evidence from the Ho Chi Minh Stock Exchange
The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). ... The findings derived from the tests examining the differences in excess returns across the winner and loser portfolios confirm that the overreaction phenomenon exists in the HOSE.
RePEc:gam:jijfss:v:11:y:2023:i:2:p:58-:d:1110999 Save to MyIDEAS - Borgards, Oliver & Czudaj, Robert L. (2020): The prevalence of price overreactions in the cryptocurrency market
This paper examines the prevalence of price overreactions for twelve cryptocurrencies compared to the US stock market. For this purpose, we implement a dynamic modeling approach to define and test for overreactions for interday and various intraday price levels. We find evidence that price overreactions are highly prevalent in the cryptocurrency market for all frequencies, strongly supporting the overreaction hypothesis. ... However, the returns of an overreaction trading strategy are significantly higher for cryptocurrencies due to larger overreactions as the most important factor for profitability. In addition, our results also show that negative overreactions are slightly more prevalent than positive overreactions.
RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300780 Save to MyIDEAS - Le Quy Duong & Philippe Bertrand (2023): Overreaction and momentum in the Vietnamese stock market
Secondly, the authors study the return predictability of a measure of investors' overreaction, then examine whether the momentum effect in Vietnam is explained by overreaction. ... Consequently, to investigate whether momentum exits after controlling for overreaction, the authors carefully compare trading strategies based on overreaction with price momentum strategies using adjusted returns and double sorts on past returns and levels of overreaction. ... Secondly, the measure of overreaction could be a predictor of Vietnamese stock returns. ... Finally, returns on trading strategies based on overreaction are robust after adjusting for momentum, while returns on momentum portfolios become insignificant after adjusting for overreaction. ... Hence, the momentum profit in Vietnam arises from investors' overreaction.
RePEc:hal:journl:hal-03778049 Save to MyIDEAS - Leppin, Julian Sebastian (2014): The relation between overreaction in forecasts and uncertainty: A nonlinear approachvon
This paper examines if overreaction of oil price forecasters is related to uncertainty. ... The results show that forecast changes are governed by overreaction. However, overreaction is markedly reduced when high levels of uncertainty prevail. On the other hand, noisy signals and positive oil price returns tend to cause higher overreaction.
RePEc:zbw:hwwirp:158 Save to MyIDEAS - Lobe, Sebastian & Rieks, Johannes (2011): Short-term market overreaction on the Frankfurt stock exchange
First, we find significant evidence of overreaction which is not exclusively concentrated in small-caps.
RePEc:eee:quaeco:v:51:y:2011:i:2:p:113-123 Save to MyIDEAS - Lu, Kelin (2022): Overreaction to capital taxation in saving decisions
Subjects exhibited an overreaction to wealth taxes but not to capital income taxes: subjects’ savings decreased more with the introduction of a wealth tax than with a financially equivalent drop in capital returns. Second, we built a parsimonious behavioral model of individual optimization to characterize this overreaction and illustrate its welfare implications. Finally, additional treatments began to explore the root cause of this overreaction bias. We ruled out the explanation that the intrinsic aversion to paying wealth taxes drives overreaction. Instead, overreaction seems to be driven by subjects’ incorrect understanding of the effects of wealth taxes on their savings.
RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002457 Save to MyIDEAS - Friesen, Geoffrey C. & Swift, Christopher (2009): Overreaction in the thrift IPO aftermarket
The return differences are most pronounced among the small thrifts in our sample, and are broadly consistent with investor overreaction at the time of the IPO that continues for 6-12 months before prices begin reverting back to fundamental value.
RePEc:eee:jbfina:v:33:y:2009:i:7:p:1285-1298 Save to MyIDEAS