Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 22 for “"overreaction"”.
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Short-term share price overreaction : evidence from the Johannesburg Stock Exchange
The Overreaction Hypothesis and share price overreaction has been a widely researched phenomenon since the 1980s, although most work has focused on longer-term share return reversals. As an emerging market and part of the BRICS collective, South Africa provides an interesting investment environment …
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An Investigation of Overreaction via Implied Volatility and a Comparison between Tracking Stocks and Carve-Outs as a Restructuring Choice
… 2 of the dissertation compares the degree of overreaction between value stocks and growth stocks using the implied volatility from option prices. Applying Stein's (1989) mean reversion model and Heynen, Kemna, and Vorst's (1994) GARCH and EGARCH methods, I compare the theoretical and empirical …
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Essays on Determinants of IPO Liquidity and Price Adjustments to Persistent Information in Option Markets
… I also investigate whether contemporaneous overreaction tends to occur following persistent information in the options market. More specifically, I compare the reactions between growth and value investors, and small and large investors conditional on past price reactions. My empirical …
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Two Essays on Momentum and Reversals in Stock Returns
… as evidence that momentum results from delayed overreaction to information. I examine momentum and reversals conditional on firms’ share issuance (net of repurchases) during the momentum holding period and show that (1) among losers, the momentum returns are statistically significant, but the …
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Machine Tweeting
… the reversal likely arises because bots amplify overreaction to firms’ optimistic framing. Cross-sectional analyses show that the effect is stronger for firms with greater retail investor presence and for those with lower information transparency. Transaction-level trade evidence further …
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Examination of long-run performance of momentum portfolios: Implications for the sources and profitability of momentum
… with the notion that winner momentum is an overreaction to positive news and potentially destabilizing. Loser momentum is larger in magnitude, lasts for about one year, and its lower return does not reverse in the long run. This is consistent with the notion that loser momentum is an …
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Momentum trading strategy on the Johannesburg Stock Exchange
… documents an example of evidence of investor overreaction in the marketplace, with overreaction to short-term information found to be exploitable via price corrections in order to generate market-beating returns. An efficient market should render any consistent abnormal returns unattainable. …
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A Reexamination of Bias in Management Earnings Forecasts
… corrects itself by reversing the previous overreaction.
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An Essay on Cash Flows in Finance
… to initial investor underreaction, subsequent overreaction, and eventual correction. I highlight the important role of the information environment in reflecting the fundamental sources of anomaly returns.
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Examining financial puzzles from an evolutionary perspective
… in the finance literature. Examples include overreaction, loss aversion, and the equity premium puzzle. Following this, we discuss risk-sensitive optimal foraging theory further and examine some of the financial puzzles using the framework of risk-sensitive foraging. Finally, we develop a …
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Tariffs and stock returns : the effect of U.S. tariffs and Canadian, Chinese and European retaliatory tariffs in 2018
… a backwards drift in returns follows a market overreaction. Keywords: Corporate finance, Fama and French three-factor model, abnormal returns, tariffs, trade war.
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International Financial Markets
… for other factors, I find some support for the overreaction theory, especially following negative large price changes in closing. However, controlling for macro factors or market conditions, there is no support for overreactions.</p>
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The relationship between investor holding period, and stock and stockholder characteristics
… investors. The empirical results support the overreaction hypothesis which assumes that some investors are overly optimistic about firms which have done well in the past, and are overly pessimistic about those that have done poorly. These findings add to the behavioral finance literature. The …
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Red scare Britain: anti-communism in British government and politics during the early Cold War, 1945-56
… To this end, the thesis argues, in hindsight, an overreaction to the threat of communism occurred during the period: a red scare predicated on the fear of fifth columnists, Soviet spies, agent provocateurs, fellow travellers, and crypto-communists. This exaggerated reaction to the ‘red menace’ has …
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Systematic Liquidity Risk and Stock Price Reaction to Large One-Day Price Changes: Evidence from London Stock Exchange.
… risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In …
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Media news sentiment and Commodity futures dynamics
… more than sentiment from novel news, and the overreaction of returns to news sentiment is mostly triggered by stale content. The impact of news sentiment is also consistent with the prospect theory and can be explained by both information and behavioral finance theories. Second, news sentiment …
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Proxy Support for HTTP Adaptive Streaming
… reduction to the video quality as a result of an overreaction by the player. Further, the proxy can reduce the impact of the bottleneck in the network, achieving higher throughput by utilizing parallel connections to the server.
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THE IMPACT OF MANAGERIAL OVERCONFIDENCE AND INVESTOR SENTIMENT ON BIDDERS’ ABNORMAL RETURNS
… acquirers’ abnormal returns reflect a market overreaction. Results suggest that under conditions of low information uncertainty when investors do not possess private information, the market reaction is complete (zero abnormal returns) for any type of acquisition. On the other hand, under …
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Essays in International Economics and Macroeconomics
… particular, this model can generate the delayed overreaction in firms' expectations documented in the literature. Moreover, strategic complementarity between firms and the resulting higher-order optimism further strengthen my mechanism. Finally, I distinguish empirically my rational theory of …
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