Explaining Apparent Stock Market Anomalies
@inproceedings{Leong2002ExplainingAS,
title={Explaining Apparent Stock Market Anomalies},
author={Clint Tan Chee Leong and Michael J. Seiler and Mark A. Lane},
year={2002},
url={https://api.semanticscholar.org/CorpusID:155028711}
}The article provides a discussion of the psychological and behavioral investor aspects responsible for the phenomenon of stock price momentum. Anchoring, herding, overconfidence, mental accounting, myopic loss aversion, regret aversion, prospect theory, over-reaction and under-reaction, representativeness, non-transitivity and question framing, hindsight bias and pride, barn-door closing, sensation seeking, and response to market consensus estimate are all examined to offer explanations for the…
3 Citations
An investigation on the effect of investor’s behavior on fund management
- 2014
Business, Economics
Article history: Received June 28, 2013 Received in revised format 19 October 2013 Accepted 20 December 2013 Available online December 27 2013 There are many evidences to believe that investors’…
the Psychology of Risk
- 2010
Psychology, Economics
The topic of risk incorporates a variety of definitions within different fields such as psychology, sociology, finance, and engineering. In academic finance, the analysis of risk has two major…
89 References
Myopic Loss Aversion and the Equity Premium Puzzle
- 1993
Economics
The equity premium puzzle, first documented by Mehra and Prescott, refers to the empirical fact that stocks have greatly outperformed bonds over the last century. As Mehra and Prescott point out, it…
Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior
- 1992
Economics, Business
This study examines whether security analysts underreact or overreact to prior earnings information, and whether any such behavior could explain previously documented anomalous stock price movements.…
Multifactor Explanations of Asset Pricing Anomalies
- 1996
Economics
Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book-to-market equity, past sales growth, long-term past…
Investor Overreaction in International Stock Markets
- 1999
Economics, Business
Many studies have found that value stocks outperform growth stocks in the U.S. and other international stock markets. Little research has been published that attempts to explain this difference in…
POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUM
- 1989
Economics
This study seeks to discriminate between competing explanations of "post-earnings-announcement drift." Ball and Brown [1968] were the first to note that even after earnings are announced, estimated…
Does the Stock Market Overreact
- 1985
Economics
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…
Evidence on the Possible Underweighting of Earnings-Related Information
- 1991
Economics
This study proposes and tests hypotheses related to three issues. (1) Do analysts underestimate the persistence (permanent component) of earnings forecast errors? (2) Do investors use analysts'…
Further Evidence On Investor Overreaction and Stock Market Seasonality
- 1987
Economics
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…
Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies
- 1998
Economics, Business
Various theories have been proposed to explain momentum in stock returns. We test the gradual-information-diffusion model of Hong and Stein ~1999! and establish three key results. First, once one…