Journal of Finance Vol. 42 No. 3 1987
Further Evidence on Investor Overreaction and Stock Market Seasonality
Abstract
In a previous paper, we found systematic price reversals for stocks that experience extreme long-term gains or losses: Past losers significantly outperform past winners. We interpreted this finding as consistent with the behavioral hypothesis of investor overreaction. In this follow-up paper, additional evidence is reported that supports the overreaction hypothesis and that is inconsistent with two alternative hypotheses based on firm size and differences in risk, as measured by CAPM-betas. The seasonal pattern of returns is also examined. Excess returns in January are related to both short-term and long-term past performance, as well as to the previous year market return.
- DOI
- 10.2307/2328371
- Volume
- 42
- Issue
- 3
- Pages
- 557
- Sources
- openalex crossref