Dissanaike (1997) found a long-term "winner-loser" effect in the UK, within a sample of large (FT500) companies. However, he did not investigate as to whether there was a size effect within his sample, nor did he check to see if it subsumed his "winner-loser" effect. We find evidence of a size...

One of the controversial issues in the stockmarket overreaction literature is the claim that price reversals for losers are more pronounced than for winners. We present new results for the UK which suggest that the opposite conclusion is true. Our results are particularly interesting because...

Some argue that corporate finance and governance practices were among the root causes of the Asian crisis. It is alleged that high and increasing corporate debt ratios were partly to blame. This claim is overstated: only South Korea and arguably Thailand had leverage ratios significantly above...

Cross-sectional averages of log returns have been used to measure shareholder wealth effects in several event studies. No adequate explanation of the implied portfolio strategy has ever been provided in the literature. We argue that the method is biased or does not portray a realistic portfolio...

The financial crisis provides an ideal setting to study how quality signalling by firms, and information asymmetries, might explain the stock price reactions around seasoned equity offerings. The heightened information asymmetry levels during the GFC should have increased the importance of...

This paper investigates the evidence on the stock market overreaction hypothesis (ORH), which holds that, if stock prices systematically overshoot as a consequence of excessive investor optimism or pessimism, price reversals should be predictable from past price performance. The ORH stands in...