Evidence to the contrary: extreme weekly returns are underreactions

Evidence to the contrary: extreme weekly returns are underreactions

The finding of reversals in weekly returns has been attributed to a combination of microstructure issues and overreaction to information. I provide new evidence eliminating overreaction as a source of reversal. I show that well-known weekly contrarian profits are followed by a long run of momentum...

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Bibliographic Details
Main Author: Kelley, Eric Kyle
Other Authors: Fields, L. Paige
Format: Others
Language:en_US
Published: Texas A&M University 2004
Subjects:
underreaction
overreaction
reversals
return predictability
weekly returns
Online Access:http://hdl.handle.net/1969.1/1065

Internet

http://hdl.handle.net/1969.1/1065

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