Long-term price overreactions: are markets inefficient?

Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.); Plastun, A. (Alex)

Autor(es):

Caporale, G.M. (Guglielmo M.)

Gil-Alana, L.A. (Luis A.)

Plastun, A. (Alex)

Palabras clave :

Materias Investigacion::Economía y Empresa::Economía
Efficient market hypothesis
Anomaly
Overreaction hypothesis
Abnormal returns
Contrarian strategy
Trading strategy
Trading robot
Inertia anomaly

Fecha de publicación :

2019

Editorial :

Springer Science and Business Media LLC

ISSN :

1055-0925

Nota:

This article is distributed under the terms of the Creative Commons Attribution 4.0 International License

Cita:

Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.); Plastun, A. (Alex). "Long-term price overreactions: are markets inefficient?". Journal of Economics and Finance. (43), 2019, 657 - 680

Resumen

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, a number of statistical tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so-called "inertia anomaly". Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter cannot be seen as inconsistent with the EMH.

URI :

https://hdl.handle.net/10171/61249

DOI:

10.1007/s12197-018-9464-8

Aparece en las colecciones:

DA - Economía - Artículo de revista

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