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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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 exhibit explanatory power. However, when controlling for size only a reversal effect can pervasively explain the abnormal 1-day stock market reaction to price shocks. Third, due to transaction costs and unpredictable market sentiment these anomalies can hardly be exploited. After all, our robust findings suggest no violation of the efficient market hypothesis.
|Institutions:||Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder)|
|Interdisciplinary subject network:||Immobilien- und Kapitalmärkte|
|Keywords:||Overreaction, price shocks, anomalies|
|Subjects:||300 Social sciences > 330 Economics|
|Refereed:||Yes, this version has been refereed|
|Created at the University of Regensburg:||Yes|
|Owner:||PD Dr. rer. pol. habil. Sebastian Lobe|
|Deposited On:||15 Dec 2010 07:24|
|Last Modified:||13 Oct 2011 15:55|
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