TY - JOUR
T1 - Short-term overreaction, underreaction and efficient reaction
T2 - Evidence from the London stock exchange
AU - Spyrou, Spyros
AU - Kassimatis, Konstantinos
AU - Galariotis, Emilios
PY - 2007/2
Y1 - 2007/2
N2 - We examine short-term investor reaction to extreme events in the UK equity market for the period 1989 to 2004 and find that the market reaction to shocks for large capitalization stock portfolios is consistent with the Efficient Market Hypothesis, i.e. all information appears to be incorporated in prices on the same day. However, for medium and small capitalization stock portfolios our results indicate significant underreaction to both positive and negative shocks for many days subsequent to a shock. Furthermore, the underreaction is not explained by risk factors (e.g. Fama and French, 1996) calendar effects, bid-ask biases or unique global financial crises.
AB - We examine short-term investor reaction to extreme events in the UK equity market for the period 1989 to 2004 and find that the market reaction to shocks for large capitalization stock portfolios is consistent with the Efficient Market Hypothesis, i.e. all information appears to be incorporated in prices on the same day. However, for medium and small capitalization stock portfolios our results indicate significant underreaction to both positive and negative shocks for many days subsequent to a shock. Furthermore, the underreaction is not explained by risk factors (e.g. Fama and French, 1996) calendar effects, bid-ask biases or unique global financial crises.
UR - https://www.scopus.com/pages/publications/33847183141
U2 - 10.1080/09603100600639868
DO - 10.1080/09603100600639868
M3 - Article
AN - SCOPUS:33847183141
SN - 0960-3107
VL - 17
SP - 221
EP - 235
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 3
ER -
