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Journal of Business

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Опубликовано на портале: 03-12-2007
Padmaja Kadiyala, Raghavendra Rau Journal of Business. 2004.  Vol. 77. No. 2. P. 357-386. 
Two conflicting behavioral models, underreaction and overreaction, have been proposed to explain long-run abnormal returns following a variety of corporate events. We test hypotheses that distinguish between these two models. We find that across four different corporate events, long-run abnormal returns exhibit a pattern that is most consistent with investor underreaction to short-term information available prior to the event and to the information conveyed by the event itself. The pattern in long-run abnormal returns is inconsistent with the overreaction model as well as with a model that postulates investor underreaction to short-term information and overreaction to long-term trends
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