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Journal of Finance

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Опубликовано на портале: 03-12-2007
Werner De Bondt, Richard H. Thaler Journal of Finance. 1987.  Vol. 42. No. 3. P. 557-581. 
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 as consistent with the behavioral hypothesis of investor overreaction. In this follow-up paper, additional evidence is reported that supports the overreaction hypothesis and that is inconsistent with two alternative hypotheses based on firm size and differences in risk, as measured by CAPM-betas. The seasonal pattern of returns is also examined. Excess returns in January are related to both short-term and long-term past performance, as well as to the previous year market return.
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Опубликовано на портале: 01-11-2007
Michael D. Atchison, Kirt C. Butler, Richard R. Simonds Journal of Finance. 1987.  Vol. 42. No. 1. P. 111-118. 
The theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated from a derived model. This estimated level is found to be substantially less than that observed empirically. The theoretical and empirical relationship between portfolio size and autocorrelation also is investigated. The results of this study suggest that other price-adjustment delay factors in addition to nonsynchronous trading cause the high autocorrelations present in daily returns on stock index portfolios
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Опубликовано на портале: 26-10-2007
Yakov Amihud, Haim Mendelson Journal of Finance. 1987.  Vol. 42. No. 3. P. 533-553. 
This paper examines the effects of the mechanism by which securities are traded on their price behavior. We compare the behavior of open-to-open and close-to-close returns on NYSE stocks, given the differences in execution methods applied in the opening and closing transactions. Opening returns are found to exhibit greater dispersion, greater deviations from normality and a more negative and significant autocorrelation pattern than closing returns. We study the effects of the bid-ask spread and the price-adjustment process on the estimated return variances and covariances and discuss the associated biases. We conclude that the trading mechanism has a significant effect on stock price behavior.
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