Do U.S. Stock Market Indexes Over- or Underreact?
Our objective is to investigate the short-term over- or underreaction of six U.S. stock market indexes. We find evidence of a one-day underreaction for winners (days on which an index experiences abnormally high returns) and losers (days on which an index experiences abnormally poor performance). We also find strong evidence of a sixty-day underreaction for winners. For losers, abnormal returns turn from negative to positive as the period is extended, resulting in significant reversals over the sixty-day period. Results are generally consistent for each of the six indexes. Overall, these results provide strong support for the uncertain information hypothesis.
Year of publication: |
2001
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Authors: | Schnusenberg, Oliver ; Madura, Jeff |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 24.2001, 2, p. 179-204
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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