A Critique of Overreaction Effect in the Global Stock Markets Over the Past Three Decades
Title | A Critique of Overreaction Effect in the Global Stock Markets Over the Past Three Decades PDF eBook |
Author | Supriya Maheshwari |
Publisher | |
Pages | 8 |
Release | 2016 |
Genre | |
ISBN |
Overreaction Effect can be traced back to 1980's when DeBondt and Thaler (1986) argued that there existed a strong tendency for both low and high performing securities in one period to experience reversal in following years. Since then it has become one of the grey areas in finance and lead to an on-going debate on its existence. The current paper critically evaluates the work of various authors discussing the possible causes of the effect and its behavioural aspects.
Anatomy of Global Stock Market Crashes
Title | Anatomy of Global Stock Market Crashes PDF eBook |
Author | Gagari Chakrabarti |
Publisher | Springer Science & Business Media |
Pages | 69 |
Release | 2012-01-05 |
Genre | Business & Economics |
ISBN | 8132204638 |
This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.
Statistical Approach to Stock Market Overreaction and Seasonality
Title | Statistical Approach to Stock Market Overreaction and Seasonality PDF eBook |
Author | YuYan Hu |
Publisher | |
Pages | 30 |
Release | 2012 |
Genre | |
ISBN |
In their study "Does the Stock Market Overreact?", Debondt and Thaler proposed the overreaction hypothesis, which states that if a stock experiences significant price movement, then a subsequent price movement in the opposite direction is likely to follow. Moreover, the level of extremeness is positively correlated between the initial and the following price movement. In this study we would adopt the similar algorithm, using the data of recent three decades to test the overreaction hypothesis. Besides, the study of overreaction has shed light to the research of "January Effect" in stock market. A linear regression model will be used to test the existence of "January Effect", by analyzing the stocks with greater losses.
Efficiency and Anomalies in Stock Markets
Title | Efficiency and Anomalies in Stock Markets PDF eBook |
Author | Wing-Keung Wong |
Publisher | Mdpi AG |
Pages | 232 |
Release | 2022-02-17 |
Genre | Business & Economics |
ISBN | 9783036530802 |
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Contemporary Issues in Social Science
Title | Contemporary Issues in Social Science PDF eBook |
Author | Simon Grima |
Publisher | Emerald Group Publishing |
Pages | 480 |
Release | 2021-05-25 |
Genre | Business & Economics |
ISBN | 180043930X |
This international exploration on different economic systems provides a comprehensive account which brings a wide range of countries to the forefront in terms of both comparability and accountability, this study shines a light on the differences in systems between states, and provides information to equip readers to minimize those differences.
Risk-Return Relationship and Portfolio Management
Title | Risk-Return Relationship and Portfolio Management PDF eBook |
Author | Raj S. Dhankar |
Publisher | Springer Nature |
Pages | 323 |
Release | 2019-10-24 |
Genre | Business & Economics |
ISBN | 8132239504 |
This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
Capital Markets and Investment Decision Making
Title | Capital Markets and Investment Decision Making PDF eBook |
Author | Raj S. Dhankar |
Publisher | Springer |
Pages | 355 |
Release | 2019-04-25 |
Genre | Business & Economics |
ISBN | 813223748X |
This book discusses capital markets and investment decision-making, focusing on the globalisation of the world economy. It presents empirically tested results from Indian and Southwest Asian stock markets and offers valuable insights into the working of Indian capital markets. The book is divided into four parts: the first part examines capital-market operations, particularly clearance and settlement processes, and stock market operations. The second part then addresses the functioning of global markets and investment decisions; more specifically it explores calendar anomalies, dependencies, overreaction effect, causality effect and stock returns volatility in South Asia, U.S. and global stock markets as a whole. Part three covers issues relating to capital structure, values of firm and investment strategies. Lastly, part four discusses emerging issues in finance like behavioral finance, Islamic finance, and international financial reporting standards. The book fills the gap in the existing finance literature and helps fund managers and individual investors make more accurate investment decisions.