Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction

Journal of Banking and Finance

Volumn 25, Issue 4, 2001, Pages 807-824

  Nam, Kiseok ^a   Pyun, Chong Soo ^b   Avard, Stephen L ^a  

^a TEXAS A AND M UNIVERSITY   (United States)

^b UNIVERSITY OF MEMPHIS   (United States)

Author keywords

Asymmetric mean reverting; Asymmetric volatility model; C40; C51; Contrarian investment; G14; Stock market overreaction

Indexed keywords

EID: 0038812568     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(00)00110-2     Document Type: Article

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