The market under-and-overreaction story  

作　　者：Abdulaziz M. Alwathainani 

机构地区：[1]York University, Toronto M3J I P3, Canada

出　　处：《China-USA Business Review》2010年第10期37-49,共13页美中经济评论（英文版）

摘　　要：Using non-overlapping historical monthly returns from 1963 to 2007, this study shows that a trading portfolio that goes long on past winning stocks and short on prior losing stocks earns an average monthly return of 0.88 percent over the ensuing 12 months. However, this momentum profit is entirely wiped out by subsequent return reversals, particularly in the second and third post-formation years. A result of the three-factor Fama and French regression extended by the market momentum effect shows that the Year 1 return and the long-term price reversal （returns in Year 2 through Year 5） move in diametrically opposing directions. This evidence indicates that the market under-and-overreaction anomalies are a manifestation of a market overreaction.

关 键 词：price momentum price reversal investors overreaction 

分 类 号：F270[经济管理—企业管理] TQ028.8[经济管理—国民经济]