Short-Term Market Overreaction on the Frankfurt Stock Exchange

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

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Zusammenfassung

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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