Long-term market overreaction: The effect of low-priced stocks

Journal of Finance

Volumn 51, Issue 5, 1996, Pages 1959-1970

  Loughran, Tim ^a   Ritter, Jay R ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0010955677     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1996.tb05234.x     Document Type: Article

References (19)

1. Ball, Ray and S. P. Kothari, 1989, Nonstationary expected returns: Implications for tests of market efficiency and serial correlations in returns, Journal of Financial Economics 25, 51-74.
2. Ball, Ray, S. P. Kothari, and Jay Shanken, 1995, Problems in measuring portfolio performance: An application to contrarian investment strategies, Journal of Financial Economics 38, 79-107.
3. Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
4. Basu, Sanjoy, 1977, The investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis, Journal of Finance 32, 663-682.
5. Bhardwaj, Ravinder K. and Leroy D. Brooks, 1992, The January anomaly: Effects of low share price, transaction costs, and bid-ask bias, Journal of Finance 47, 553-575.
6. Blume, Marshall E. and Frank Husic, 1973, Price, beta, and exchange listing, Journal of Finance 28, 283-299.
7. Blume, Marshall E. and Robert F. Stambaugh, 1983, Biases in computed returns: An application to the size effect, Journal of Financial Economics 12, 387-404.
8. Chopra, Navin, Josef Lakonishok, and Jay R. Ritter, 1992, Measuring abnormal returns: Do stocks overreact?, Journal of Financial Economics 31, 235-268.
9. Conrad, Jennifer and Gautam Kaul, 1993, Long-term market overreaction or biases in computed returns?, Journal of Finance 48, 39-63.
10. De Bondt, Werner and Richard Thaler, 1985, Does the stock market overreact?, Journal of Finance 40, 793-805.
11. De Bondt, Werner and Richard Thaler, 1987, Further evidence of investor overreaction and stock market seasonality, Journal of Finance 42, 557-581.
12. Dissanaike, Gishan, 1996, Are stock price reversals really asymmetric? A note, Journal of Banking and Finance 20, 189-201.
13. Fama, Eugene F. and James MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.
14. Jegadeesh, Narasimhan, 1991, Seasonality in stock price mean reversion: Evidence from the U.S. and the U.K., Journal of Finance 46, 1427-1444.
15. Jones, Steven L., 1993, Another look at time-varying risk and return in a long-horizon contrarian strategy, Journal of Financial Economics 33, 119-144.
16. Keim, Donald B. and Robert F. Stambaugh, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics 17, 357-390.
17. Newey, Whitney K. and Kenneth D. West, 1987, A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
18. Ritter, Jay R., 1991, The long-run performance of initial public offerings, Journal of Finance 46, 3-27.
19. White, Hal, 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817-838.