Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction

Some authors attribute the extreme movements in stock returns to market overreaction. In this paper, we examine this controversial hypothesis in the Tokyo Stock Exchange through portfolios formed on the basis of previous four-year returns. We find that the extreme losers outperform the extreme winne...

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Veröffentlicht in:	Japan and the world economy 1997-08, Vol.9 (3), p.363-384
Hauptverfasser:	Gunaratne, P.S.M., Yonesawa, Y.
Format:	Artikel
Sprache:	eng
Schlagworte:	Abnormal returns Japan Overreaction Portfolio performance Return reversals Stock exchange Stock returns Tokyo Tokyo Stock Exchange World economy
Online-Zugang:	Volltext
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