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Финансовая экономика - это область теоретико-прикладных знаний о законах функционирования финансовых потоков и отношений между всеми субъектами экономической системы... (подробнее...)

Review of Financial Studies

Выпуск N4 за 1995 год

Опубликовано на портале: 03-12-2007
Narasimhan Jegadeesh, Sheridan Titman Review of Financial Studies. 1995.  Vol. 8. No. 4. P. 973-993. 
This article examines the contribution of stock price overreaction and delayed reaction to the profitability of contrarian strategies. The evidence indicates that stock prices overreact to firm-specific information, but react with a delay to common factors. Delayed reactions to common factors give rise to a size-related lead-lag effect in stock returns. In sharp contrast with the conclusions in the extant literature, however, this article finds that most of the contrarian profit is due to stock price overreaction and a very small fraction of the profit can be attributed to the lead-lag effect
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