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Extreme Return Reversal in the Stock Market
9 references·2 citing·50 second hop
Extreme Return Reversal in the Stock Market (2003)Extreme Return Reversal in the Stock Mark…Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction (2001)Asymmetric reverting behavior…New Paradigm or Same Old Hype in Equity Investing? (2000)New Paradigm or Same Old Hype…The End of Behavioral Finance (1999)The End of Behavioral FinancePrice Reactions to Dividend Initiations and Omissions: Overreaction or Drift? (1995)Price Reactions to Dividend I…Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? (1995)Price Reactions to Dividend I…Overreaction, Underreaction, and the Low-P/E Effect (1995)Overreaction, Underreaction, …Do Security Analysts Overreact (1990)Do Security Analysts OverreactDoes the Stock Market Overreact? (1985)Does the Stock Market Overrea…Regression Towards Mediocrity in Hereditary Stature. (1886)Regression Towards Mediocrity…The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis (2017)The intraday directional pred…The death of the overreaction anomaly? A multifactor explanation of contrarian returns (2009)The death of the overreaction…On the psychology of prediction. (1973)Noise Trader Risk in Financial Markets (1990)Betting on trends: Intuitive forecasts of financial risk and return (1993)Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test? (1997)Venture capital investment cycles: The impact of public markets (2007)The Cross-Section of Expected Stock Returns (1992)Size and Book-to-Market Factors in Earnings and Returns (1995)The Limits of Arbitrage (1995)Benchmarking Money Manager Performance: Issues and Evidence (2009)Mutual Fund Performance: Measurement and Evidence1 (2010)Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Commodity price cycles and heterogeneous speculators: a STAR–GARCH model (2006)Agent-based financial markets and New Keynesian macroeconomics: a synthesis (2012)Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact (2021)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On Persistence in Mutual Fund Performance (1997)Fear and Greed in Financial Markets: A Clinical Study of Day-Traders (2005)Was there a Nasdaq bubble in the late 1990s?☆ (2006)Do investors exhibit behavioral biases in investment decision making? A systematic review (2018)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)Multifactor Explanations of Asset Pricing Anomalies (1996)Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Cash Flow Is King? Cognitive Errors by Investors (2000)Investor Overreaction: Evidence That Its Basis Is Psychological (2000)Behavioral Finance: Theories and Evidence (2008)Choices, Values, and Frames (2013)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data (2005)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)A new GARCH model with higher moments for stock return predictability (2018)The tail behavior of safe haven currencies: A cross-quantilogram analysis (2020)Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries (2021)Corporate financing and investment decisions when firms have information that investors do not have (1984)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Measuring long-horizon security price performance (1997)Market Reactions to Tangible and Intangible Information (2006)Taming the Factor Zoo: A Test of New Factors (2020)Evolutionary Personality Psychology (1991)Determinants of Economic Growth: A Cross-Country Empirical Study (1996)Understanding Relationships Using Copulas (1998)Underreactions, overreactions and moderated confidence (2000)Is Openness Penalized? Stock Returns around Earnings Warnings (2007)Taxes and dividend policy under alternative tax regimes (2007)
this work references cited by second hop

References

  • 1985Does the Stock Market Overreact?7,569 cited
  • 1886Regression Towards Mediocrity in Hereditary Stature.1,459 cited
  • 1995Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?939 cited
  • 1990Do Security Analysts Overreact685 cited
  • 1999The End of Behavioral Finance485 cited
  • 1995Overreaction, Underreaction, and the Low-P/E Effect131 cited
  • 2000New Paradigm or Same Old Hype in Equity Investing?129 cited
  • 1995Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?128 cited
  • 2001Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction108 cited

Cited by

  • 2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis27 cited
  • 2009The death of the overreaction anomaly? A multifactor explanation of contrarian returns25 cited

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