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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 … the "inertia anomaly" produces profits in the case of the FOREX and the commodity markets, but not in the case of the US …
Persistent link: https://www.econbiz.de/10010438074
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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 …-called “inertia anomaly”. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly …
Persistent link: https://www.econbiz.de/10010467097
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Short-Term Price Overreactions: Identification, Testing, Exploitation
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - 2014
there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A … the "inertia anomaly" produces profits in the case of the FOREX and the commodity markets, but not in the case of the US …
Persistent link: https://www.econbiz.de/10010435765
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Long-term price overreactions: Are markets enefficient?
Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - 2015
test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so …-called 'inertia anomaly'. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly …
Persistent link: https://www.econbiz.de/10010464626
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Short-term price overreaction: Identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - 2014
there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A … the "inertia anomaly" produces profits in the case of the FOREX and the commodity markets, but not in the case of the US …
Persistent link: https://www.econbiz.de/10010435314
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Long-Term Price Overreactions: Are Markets Inefficient?
Caporale, Guglielma Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015
test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so …-called “inertia anomaly”. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly …
Persistent link: https://www.econbiz.de/10011185761
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Short-Term Price Overreaction: Identification, Testing, Exploitation
Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
there is an “inertia anomaly”, i.e. after an overreaction day prices tend to move in the same direction for some time. A … the “inertia anomaly” produces profits in the case of the FOREX and the commodity markets, but not in the case of the US …
Persistent link: https://www.econbiz.de/10011267904
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Price overreactions in the cryptocurrency market
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...
Persistent link: https://www.econbiz.de/10011789179
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Price overreactions in the cryptocurrency market
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann-Whitney U test) tests confirm the presence of price patterns after...
Persistent link: https://www.econbiz.de/10011789323
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Long-term price overreactions : are markets inefficient?
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
Persistent link: https://www.econbiz.de/10010520828