最近做Presentation的缘故仔细研读了一篇英文论文！感觉启迪非常多！在这里推荐给大家~
Title: Does the Stock Market Overreact?
Author(s): Werner F. M. De Bondt and Richard Thaler
Source: The Journal of Finance, Vol. 40, No. 3, Papers and Proceedings of the Forty-Third
Annual Meeting American Finance Association, Dallas, Texas, December 28-30, 1984 (Jul., 1985),
pp. 793-805
Published by: Wiley for the American Finance Association
Stable URL: http://www.jstor.org/stable/2327804
Accessed: 22-11-2015 18:28 UTC
ABSTRACT
Researchin experimentalpsychologysuggests that, in violation of Bayes' rule, most
people tend to "overreact"to unexpected and dramaticnews events. This study of
marketefficiencyinvestigateswhethersuchbehavioraffectsstockprices.The empirical
evidence, based on CRSP monthly return data, is consistent with the overreaction
hypothesis.Substantialweakformmarketinefficienciesarediscovered.The resultsalso
shednewlighton the Januaryreturnsearnedby prior"winners" and"losers." Portfolios
of losers experience exceptionally large January returns as late as five years after
portfolioformation.
Research methods研究方法: Self-help estimate method
Research purpose研究目的: Talk about if the stock market overreact
Research summary研究总结:Researchin experimentalpsychology has suggestedthat, in violation of Bayes'
rule, most people "overreact"to unexpected and dramatic news events. The
questionthen arises whether such behaviormatters at the marketlevel.
Consistent with the predictions of the overreactionhypothesis, portfolios of
prior"losers", are found to outperformprior "winners."Thirty-six months after
portfolio formation, the losing stocks have earned about 25% more than the
winners,even though the latter are significantly morerisky.
Several aspects of the results remain without adequate explanation; most
importantly,the largepositive excess returnsearnedby the loserportfolioevery
January.Much to our surprise,the effect is observedas late as five years after
portfolioformation.
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