Does the Stock Market Overreact ?

@inproceedings{Bondt2007DoesTS,
  title={Does the Stock Market Overreact ?},
  author={Werner F. M. De Bondt and Richard Thaler},
  year={2007}
}
Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to "overreact" to unexpected and dramatic news events. This study of market efficiency investigates whether such behavior affects stock prices. The empirical evidence, based on CRSP monthly return data, is consistent with the overreaction hypothesis. Substantial weak form market inefficiencies are discovered. The results also shed new light on the January returns earned by prior "winners" and… CONTINUE READING
Highly Influential
This paper has highly influenced 73 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 747 citations. REVIEW CITATIONS

Citations

Publications citing this paper.

747 Citations

020406080'07'10'13'16'19
Citations per Year
Semantic Scholar estimates that this publication has 747 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 32 references

" Does the Stock Market Overreact to New Information ?

N. D.
Dreman . The New Contrarian Investment Strategy • 1985

Does the Stock Market Overreact o New Information?

W.F.M. De Bondt
Unpublished Ph.D. dissertation, • 1985

The Relevance of Quasi-Rationality in Competitive Markets.

T. Russell, R. Thaler
American Economic Review • 1985

" Biases in Computed Returns : An Application to the Size Effect

W. F. M. De Bondt.
" Journal of Financial Economics • 1983

" Misspecification of Capital Asset Pricing : Empirical Anomalies Based on Earnings ' Yields and Market Values

M. R. Reinganum.
Journal of Financial Economics • 1983

Aggregate Dividend Behavior and Its Implications for Tests of Stock Market Rationality." Working Paper No. 1475-83

T. A. Marsh, R. C. Merton
Sloan School of Management, • 1983

Beliefs, Information, Martingales, and Arbitrage Pricing." Working Paper, Johnson Graduate School of Management, Cornell

R. Jarrow
1983

Schwert. "Size and Stock Returns, and Other Empirical Regularities." Journal of Financial Economics

G W.
1983

Similar Papers

Loading similar papers…