Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange

Spyros I. Spyrou Konstantinos Kassimatis Emilios C. Galariotis 1
1 Durham Business School
Abstract : We examine short-term investor reaction to extreme events in the UK equity market for the period 1989 to 2004 and find that the market reaction to shocks for large capitalization stock portfolios is consistent with the Efficient Market Hypothesis, i.e. all information appears to be incorporated in prices on the same day. However, for medium and small capitalization stock portfolios our results indicate significant underreaction to both positive and negative shocks for many days subsequent to a shock. Furthermore, the underreaction is not explained by risk factors (e.g. Fama and French, 1996) calendar effects, bid-ask biases or unique global financial crises.
Type de document :
Article dans une revue
Applied Financial Economics, Taylor & Francis (Routledge), 2007, 17 (3), pp.221-235. 〈10.1080/09603100600639868〉
Liste complète des métadonnées
http://hal-audencia.archives-ouvertes.fr/hal-01096009
Contributeur : Sylvia Cheminel <>
Soumis le : mardi 16 décembre 2014 - 16:07:01
Dernière modification le : jeudi 19 juillet 2018 - 16:58:09

Lien texte intégral

openaccess

Identifiants

Collections

AUDENCIA

Citation

Spyros I. Spyrou, Konstantinos Kassimatis, Emilios C. Galariotis. Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange. Applied Financial Economics, Taylor & Francis (Routledge), 2007, 17 (3), pp.221-235. 〈10.1080/09603100600639868〉. 〈hal-01096009〉

Exporter

BibTeX TEI DC DCterms EndNote

Partager

Métriques

Consultations de la notice

74

Contact

support.ccsd.cnrs.fr
hal.support@ccsd.cnrs.fr
Logo CCSD