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Short-Term Market Overreaction on the Frankfurt Stock Exchange

Lobe, Sebastian and Rieks, Johannes (2011) Short-Term Market Overreaction on the Frankfurt Stock Exchange. Quarterly Review of Economics and Finance The 51 (2), pp. 113-123.

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Other URL: http://ideas.repec.org/a/eee/quaeco/v51y2011i2p113-123.html


This paper offers out-of-sample evidence of subsequent short-term abnormal returns for stocks experiencing a price change of ten percent or more in either direction on the German stock market between 1988 and 2007. First, we find significant evidence of overreaction which is not exclusively concentrated in small-caps. Second, some well documented anomalies and stock characteristics seem to ...


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Item Type:Article
Date:May 2011
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
G14Journal of Economics Literature Classification
G01Journal of Economics Literature Classification
G15Journal of Economics Literature Classification
Keywords:Overreaction, price shocks, anomalies
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Deposited On:15 Dec 2010 06:24
Last Modified:13 Oct 2011 13:55
Item ID:18793
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