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
Abstract
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 | ||||||||
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| 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 | ||||||||
| Classification: |
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| Keywords: | Overreaction, price shocks, anomalies | ||||||||
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||||||
| Status: | Published | ||||||||
| Refereed: | Yes, this version has been refereed | ||||||||
| Created at the University of Regensburg: | Yes | ||||||||
| Item ID: | 18793 |
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