Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/17195
Title: Long-term price overreactions: are markets inefficient?
Authors: Caporale, GM
Gil-Alana, L
Plastun, A
Keywords: Efficient Market Hypothesis;Anomaly;Overreaction hypothesis;Abnormal returns;Contrarian strategy;Trading strategy
Issue Date: 2018
Publisher: Springer
Citation: Journal of Economics and Finance
Abstract: This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, a number of statistical tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so-called “inertia anomaly”. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter cannot be seen as inconsistent with the EMH.
URI: http://bura.brunel.ac.uk/handle/2438/17195
ISSN: 1055-0925
1938-9744
Appears in Collections:Dept of Economics and Finance Embargoed Research Papers

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