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Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange
16 references·10 citing·36 second hop
Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange (2005)Contrarian Profits and the Overreaction H…The Quarterly Journal of Economics (2024)The Quarterly Journal of Econ…Momentum, Business Cycle, and Time‐varying Expected Returns (2002)Momentum, Business Cycle, and…The investment behavior and performance of various investor types: a study of Finland's unique data set (2000)The investment behavior and p…Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)Characteristics, Covariances,…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Long-Term Market Overreaction or Biases in Computed Returns? (1993)Long-Term Market Overreaction…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Measuring abnormal performance (1992)Measuring abnormal performanceWhen Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…On the Contrarian Investment Strategy (1988)On the Contrarian Investment …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50 (2020)The profitability of Bollinge…The prevalence of price overreactions in the cryptocurrency market (2020)The prevalence of price overr…Overreaction effect: evidence from an emerging market (Shanghai stock market) (2020)Overreaction effect: evidence…Short-Term Price Overreactions: Identification, Testing, Exploitation (2017)Short-Term Price Overreaction…EFFICIENT MARKETS AND BEHAVIORAL FINANCE: A COMPREHENSIVE MULTIFRACTIONAL MODEL (2015)EFFICIENT MARKETS AND BEHAVIO…Contrarian and momentum trading: a review of the literature (2014)Contrarian and momentum tradi…Predictability of stock returns using financial statement information: evidence on semi-strong efficiency of emerging Greek stock market (2010)Predictability of stock retur…The Post‐Cost Profitability of Momentum Trading Strategies: Further Evidence from the UK (2007)The Post‐Cost Profitability o…Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange (2007)Short-term overreaction, unde…Contrarian and momentum profitability revisited: Evidence from the London Stock Exchange 1964–2005 (2007)Contrarian and momentum profi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. 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this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 2024The Quarterly Journal of Economics7,176 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 2000The investment behavior and performance of various investor types: a study of Finland's unique data set1,639 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 2000Characteristics, Covariances, and Average Returns: 1929 to 19971,100 cited

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1992
Measuring abnormal performance
840 cited
  • 2002Momentum, Business Cycle, and Time‐varying Expected Returns812 cited
  • 1988On the Contrarian Investment Strategy540 cited
  • 1993Long-Term Market Overreaction or Biases in Computed Returns?488 cited
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    • 2007The Post‐Cost Profitability of Momentum Trading Strategies: Further Evidence from the UK44 cited
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    • 2014Contrarian and momentum trading: a review of the literature41 cited
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    • 2015EFFICIENT MARKETS AND BEHAVIORAL FINANCE: A COMPREHENSIVE MULTIFRACTIONAL MODEL22 cited