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Media type:
E-Article
Title:
Continuing Overreaction and Stock Return Predictability
Contributor:
Byun, Suk Joon;
Lim, Sonya S.;
Yun, Sang Hyun
Published:
Cambridge University Press, 2016
Published in:
The Journal of Financial and Quantitative Analysis, 51 (2016) 6, Seite 2015-2046
Language:
English
ISSN:
0022-1090;
1756-6916
Origination:
Footnote:
Description:
<p>We study the return predictability of a measure of continuing overreaction based on the weighted average of signed volumes. We find that the strategies of buying stocks with upward continuing overreaction and selling stocks with downward continuing overreaction generate significant positive returns and that our measure of continuing overreaction is a better predictor of future returns than past returns. The results are stronger among stocks primarily held by investors more prone to biased self-attribution. Our results provide direct support for the model of return predictability based on overconfidence and biased self-attribution.</p>