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Medientyp:
E-Artikel
Titel:
Continuing Overreaction and Stock Return Predictability
Beteiligte:
Byun, Suk Joon;
Lim, Sonya S.;
Yun, Sang Hyun
Erschienen:
Cambridge University Press, 2016
Erschienen in:
The Journal of Financial and Quantitative Analysis, 51 (2016) 6, Seite 2015-2046
Sprache:
Englisch
ISSN:
0022-1090;
1756-6916
Entstehung:
Anmerkungen:
Beschreibung:
<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>