کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5102219 | 1479773 | 2017 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stock overreaction to extreme market events
ترجمه فارسی عنوان
واکنش سهام به رویدادهای بازار شدید
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The paper investigates the behavior of individual US stocks during the 21 trading days following the event of extreme movement in the market index on a day. We find that stocks tend to overreact after both positive and negative events, but in a more pronounced way in the latter case. This behavior is more intense when the market exhibits clustered extreme swings, indicating that the overreaction and market volatility are related. We also identify that the overreaction is driven by the performance of loser stocks that revert more strongly, even as they exhibit a lower market beta than winners.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 41, July 2017, Pages 97-111
Journal: The North American Journal of Economics and Finance - Volume 41, July 2017, Pages 97-111
نویسندگان
Pedro Piccoli, Mo Chaudhury, Alceu Souza, Wesley Vieira da Silva,