Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
980413 | The Quarterly Review of Economics and Finance | 2011 | 11 Pages |
Abstract
This paper offers out-of-sample evidence of subsequent short-term abnormal returns for stocks experiencing a price change of 10% or more in either direction on the German stock market between 1988 and 2007. First, we find significant evidence of overreaction which is not exclusively concentrated in small-caps. Second, some well documented anomalies and stock characteristics seem to exhibit explanatory power. However, when controlling for size only a reversal effect can pervasively explain the abnormal 1-day stock market reaction to price shocks. Third, due to transaction costs and unpredictable market sentiment these anomalies can hardly be exploited. After all, our robust findings suggest no violation of the efficient market hypothesis.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Sebastian Lobe, Johannes Rieks,