On stock price overreactions: frequency, seasonality and information content
This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial Index over the period 1990–2017. It uses two different methods (static and dynamic) to detect overreactions and then carries out various statistical tests (both parametric and non-...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2019-01-01
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| Series: | Journal of Applied Economics |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/15140326.2019.1692509 |