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Överreaktion på aktiemarknaden - Myt eller verklighet?

Engdahl, Christoffer (2006)
Department of Economics
Abstract
Purpose
The purpose of this paper is to assess whether the overreaction found in ”Does the Stock Market Overreact?” by DeBondt and Thaler still persists today, and by equivalence test if a trading strategy based upon these assumptions would generate abnormal returns. Method
The research has been carried out by studies of the stocks that for a prior period of one year has over or underperformed their benchmark. The stocks used in my study are all part of S&P500 index, and the period of study runs from three to five overlapping years over the last twenty years. Results
My tests indicate that the type of overreaction proposed by DeBondt & Thaler still is present, at least considering the stocks that during the formation period were winners.
Please use this url to cite or link to this publication:
@misc{1338353,
  abstract     = {Purpose
The purpose of this paper is to assess whether the overreaction found in ”Does the Stock Market Overreact?” by DeBondt and Thaler still persists today, and by equivalence test if a trading strategy based upon these assumptions would generate abnormal returns. Method
The research has been carried out by studies of the stocks that for a prior period of one year has over or underperformed their benchmark. The stocks used in my study are all part of S&P500 index, and the period of study runs from three to five overlapping years over the last twenty years. Results
My tests indicate that the type of overreaction proposed by DeBondt & Thaler still is present, at least considering the stocks that during the formation period were winners.},
  author       = {Engdahl, Christoffer},
  keyword      = {behavioral finance,marknadseffektivitet,Anomalier,Överreaktion,Contrarian Strategies,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {swe},
  note         = {Student Paper},
  title        = {Överreaktion på aktiemarknaden - Myt eller verklighet?},
  year         = {2006},
}