Further Evidence On Investor Overreaction and Stock Market Seasonality

  title={Further Evidence On Investor Overreaction and Stock Market Seasonality},
  author={Werner De Bondt and Richard H. Thaler},
  journal={Journal of Finance},
In a previous paper, we found systematic price reversals for stocks that experience extreme long-term gains or losses: Past losers significantly outperform past winners. We interpreted this finding as consistent with the behavioral hypothesis of investor overreaction. In this follow-up paper, additional evidence is reported that supports the overreaction hypothesis and that is inconsistent with two alternative hypotheses based on firm size and differences in risk, as measured by CAPM-betas. The… 

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