One of the central hypotheses of behavioural finance is that stock prices systematically overreact. The seminal study is DeBondt and Thaler (1985), which appears to show that past winners (stocks that have earned the highest positive abnormal returns during the pre-formation period) tend to...

The vicious positive and negative feedback loops (vicious reflexivities) that occur in all areas of the social sciences have the same structure as the logical paradoxes of the Liar and Anti-Liar, and of the corresponding Russell and Anti-Russell paradoxes in set theory. In recent decades the...

We look for the existence of a value premium in the UK equity market for the period 1987-2002. Previous studies are subject to four methodological biases: (1) survivorship bias, (2) look-ahead bias, (3) a downward bias in post-formation growth stock returns caused by excluding recently listed...

This paper re-examines the small firm premium in the UK from December 1987 to December 2004 using a new survivorship bias-free and look-ahead bias-free database of the UK market covering stocks officially listed in the UK during this period. Prior research (Dimson, E., and P.R. Marsh. 1987. The...

This paper re-examines the small firm premium in the UK from December 1987 to December 2004 using a new survivorship bias-free and look-ahead bias-free database of the UK market covering stocks officially listed in the UK during this period. Prior research (Dimson, E., and P.R. Marsh. 1987. The...

Two empirically testable behavioural finance hypotheses are that (1) 'superstock' portfolios derived from multifactor expected-returns models will have higher than average returns and lower than average risk in terms of statistical and economic significance; and, (2) the expected-returns factor...

This study investigates the predictive power of corporate name changes on companies' subsequent long-term stock market performance. Using a total sample of 803 name change events associated with companies that have been officially listed in the UK market during the period 1987 to 2002, we give...

Previous studies on the overreaction effect in UK show that prior losers consistently outperform prior winners in the period 1975 to 1990. This paper extends current knowledge by assessing the presence of the effect in the UK market for the period of 1987 to 2007. In contrast to earlier...