Kryzanowski, Lawrence; Zhang, Hao - In: Journal of Financial and Quantitative Analysis 27 (1992) 03, pp. 383-395
This paper tests the overreaction hypothesis using monthly data for stocks listed on the Toronto Stock Exchange over the 1950–1988 period. Unlike De Bondt and Thaler (1985), (1987), it finds statistically significant continuation behavior for the next one (and two) year(s) for winners and...