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Long-term price overreactions : are markets enefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so … data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter …

Persistent link: https://www.econbiz.de/10010467097

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A …

Persistent link: https://www.econbiz.de/10010431281

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

Persistent link: https://www.econbiz.de/10010431600

Short-term price overreaction : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A …

Persistent link: https://www.econbiz.de/10010438074

Gold and oil prices : abnormal returns, momentum and contrarian effects

Caporale, Guglielmo Maria; Plastun, Alex - In: Financial markets and portfolio management 35 (2021) 3, pp. 353-368

Persistent link: https://www.econbiz.de/10012616165

Long-term price overreactions : are markets inefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance 43 (2019) 4, pp. 657-680

Persistent link: https://www.econbiz.de/10012385147

Momentum effects in the cryptocurrency market after one-day abnormal returns

Caporale, Guglielmo Maria; Plastun, Alex - In: Financial markets and portfolio management 34 (2020) 3, pp. 251-266

Persistent link: https://www.econbiz.de/10012289645

Momentum and contrarian effects in the Ukrainian stock market : case of daily overreactions

Plastun, Alex; Strochenko, Nataliya; Zhmaylova, Olga; … - In: Investment management and financial innovations 17 (2020) 1, pp. 24-34

Persistent link: https://www.econbiz.de/10012299781

Gold and oil prices : abnormal returns, momentum and contrarian effects

Caporale, Guglielmo Maria; Plastun, Alex - 2020

This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily Gold and Oil price data over the period 01.01.2009-31.03.2020 the following hypotheses are tested: H1) there are...

Persistent link: https://www.econbiz.de/10012252384

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 51 (2018) 4, pp. 913-940

Persistent link: https://www.econbiz.de/10011972202

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