The Time-Varying Nature of the Overreaction Effect: Evidence from the UK
Previous studies on the overreaction effect in the UK show that prior losers consistently outperform prior winners in the period 1975 to 1990. This paper extends current knowledge by assessing the above phenomenon in the UK market for the period 1987 to 2007. In contrast to earlier research, we prod...
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2011
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my.uum.repo.250332018-10-25T01:41:44Z http://repo.uum.edu.my/25033/ The Time-Varying Nature of the Overreaction Effect: Evidence from the UK Andrikopoulos, Panagiotis Daynes, Arief Pagas, Paraskevas HG Finance Previous studies on the overreaction effect in the UK show that prior losers consistently outperform prior winners in the period 1975 to 1990. This paper extends current knowledge by assessing the above phenomenon in the UK market for the period 1987 to 2007. In contrast to earlier research, we produce evidence of a weak presence of the overreaction effect for the latest test period. Further, we show that, after adjusting for size, the overreaction effect almost disappears and any additional excess post-formation return to prior-losers is attributable to market cycles. This study implies that the presence of the overreaction effect in the UK stock market is time-varying and difficult to exploit in practice. Universiti Utara Malaysia Press 2011 Article PeerReviewed Andrikopoulos, Panagiotis and Daynes, Arief and Pagas, Paraskevas (2011) The Time-Varying Nature of the Overreaction Effect: Evidence from the UK. International Journal of Banking and Finance (IIJBF), 8 (3). pp. 1-36. ISSN 1675-7227 http://ijbf.uum.edu.my/index.php/previous-issues/143-the-international-journal-of-banking-and-finance-ijbf-vol-8-no-3-sept-2011 |
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HG Finance Andrikopoulos, Panagiotis Daynes, Arief Pagas, Paraskevas The Time-Varying Nature of the Overreaction Effect: Evidence from the UK |
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Previous studies on the overreaction effect in the UK show that prior losers consistently outperform prior winners in the period 1975 to 1990. This paper extends current knowledge by assessing the above phenomenon in the UK market for the period 1987 to 2007. In contrast to earlier research, we produce evidence of a weak presence of the overreaction effect for the latest test period. Further, we show that, after adjusting for size, the overreaction effect almost disappears and any additional excess post-formation return to prior-losers is attributable to market cycles. This study implies that the presence of the overreaction effect in the UK stock market is time-varying and difficult to exploit in practice. |
format |
Article |
author |
Andrikopoulos, Panagiotis Daynes, Arief Pagas, Paraskevas |
author_facet |
Andrikopoulos, Panagiotis Daynes, Arief Pagas, Paraskevas |
author_sort |
Andrikopoulos, Panagiotis |
title |
The Time-Varying Nature of the Overreaction Effect: Evidence from the UK |
title_short |
The Time-Varying Nature of the Overreaction Effect: Evidence from the UK |
title_full |
The Time-Varying Nature of the Overreaction Effect: Evidence from the UK |
title_fullStr |
The Time-Varying Nature of the Overreaction Effect: Evidence from the UK |
title_full_unstemmed |
The Time-Varying Nature of the Overreaction Effect: Evidence from the UK |
title_sort |
time-varying nature of the overreaction effect: evidence from the uk |
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Universiti Utara Malaysia Press |
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2011 |
url |
http://repo.uum.edu.my/25033/ http://ijbf.uum.edu.my/index.php/previous-issues/143-the-international-journal-of-banking-and-finance-ijbf-vol-8-no-3-sept-2011 |
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1644284207077261312 |
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13.160551 |