Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction

Nam, Kiseok; Pyun, Chong Soo; Avard, Stephen

doi:10.1016/s0378-4266(00)00110-2

Cited by 92 publications

(68 citation statements)

References 41 publications

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“…Because of the increasing instability, overreaction, herding, and speculative functioning of equity markets-especially in the United States, and to some degree in other regions, such as Japan and Europe-the 1980s and 1990s into the twenty-first century has seen a de-linking of equity prices from long-term economic growth. The practice of mis-pricing equity has led to the conclusion that equity traders are subject to "irrational expectations" (Nam et al 2001), and that the common practice of herding-based on little information-leads to "bull markets [being] intrinsically more fragile" and subject to crash (Welch 2000:369). This increasing instability of equity markets of late increases uncertainty and hence "affects economic growth adversely" (Arestis et al 2001:19).…”

Section: Ssa Function Of Conflict Resolutionmentioning

confidence: 99%

Growth and Development in the Global Political Economy

O’Hara¹

2004

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Recent institutional changes have seen the increasing dominance of globalization and neoliberalism in the world economy. As markets have been deregulated, privatization and unproductive government spending have been promoted. Yet the greater volatility of capitals, the emergence of many financial crises, a decline in trust, and environmental problems have cast doubt on the effectiveness of neoliberal globalization.This book studies the impact of neoliberal globalization on growth and development in the world economy. It scrutinizes whether new social structures of accumulation or modes of regulation have emerged to promote long-term socioeconomic performance in the global economy during the early years of the twenty-first century. Special reference is given to the specific performance of neoliberal governance; transnational corporations; global institutions of money, trade, and production; international relations of war and terrorism; financial institutions; and the family-community environment.It is a comprehensive analysis of the degree to which institutional development has managed to promote socioeconomic performance in the global economy. It also presents a thorough policy program of action for long wave upswing in the world economy. It will be especially useful for those scholars and students concerned with issues of governance, global political economy, institutions, and macroeconomics.Phillip Anthony O'Hara is Professor of Global Political Economy and Governance and Director of the Global Political Economy Research Unit, at Curtin University, Perth, Australia. He won the European Association for Evolutionary Political Economy "2002 Gunnar Myrdal Prize" for Marx, Veblen and Contemporary Institutional Political Economy (Elgar, 2000); is the editor of Global Political Economy and the Wealth of Nations (Routledge, 2004) Reviews of Growth and Development in the Global Political Economy"I am delighted to endorse Phil O'Hara's new volume. Many years ago I examined his Honours dissertation at Murdoch University on Marx's theories of crisis. It was an outstanding piece of scholarship and I recognised then that a star had been born. His many contributions since show how right I was! Growth and Development in the Global Political Economy is the jewel in his crown. It contains a superb intertwining of historical, political, economic and institutional analysis of modern global capitalism, its successes and failures. It is also a critique of the claims of neoliberal analysis, and the provision of an alternative illuminating analysis; combined with detailed suggestions for the creation of institutions that will go some way towards ensuring that potential sustainable development will be achieved in a manner that helps all the world's citizens and preserves the physical environment for future generations. O'Hara has written a notable book which ought to be read by all serious economists, social scientists, concerned citizens, politicians and policy makers." Professor G.C.Harcourt, Cambridge University, UK. "In Growth...

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Section: Ssa Function Of Conflict Resolutionmentioning

confidence: 99%

Growth and Development in the Global Political Economy

O’Hara¹

2004

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“…Assuming that changes in shareholder structure is such information, with other things being equal, there are grounds to expect that price changes occur immediately around the announcement, or on the first day of trading. However, a large number of event studies challenge this assumption by showing that the stock market over-and under reacts to new information (Bond & Thaler, 1985;Baytas & Cakici, 1999;Nam, Pyun & Avard, 2001). To deal with potential delays in market reaction the authors also calculated relative price changes within a longer event window.…”

Section: Methodsmentioning

confidence: 99%

The Color of Government Money. Do Investors Differently Value the Investment of Sovereign Wealth Funds?

Urban

2017

E-Finanse

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The article aims at pointing out the differences in market reactions regarding the announcement of an investment of selected Sovereign Wealth Funds in companies listed on the London Stock Exchange. The research sample consists of 796 market transactions made by four selected Sovereign Wealth Funds. The author employed event study methodology to calculate the average abnormal returns and cumulative abnormal returns for each fund in subsamples. The empirical findings suggest that investors react differently to the information about a fund's investment. To the best of the author's knowledge, the literature does not provide any answer as to how the market reacts to information disclosure of individual funds. Therefore, this paper bridges the gap in the literature within this field.

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“…Since new information in our case is assumed to be the development of the real sector, this argument implies a strong reaction of s to x. See, e.g., De Bondt and Thaler (1985), Nam et al (2001), or Becker et al (2007), and references therein. …”

Section: Numerical Simulationsmentioning

confidence: 97%

Agent-based financial markets and New Keynesian macroeconomics: a synthesis

Lengnick

Wohltmann

2012

J Econ Interact Coord

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may University of Kiel University of MannheimHans-Werner Wohltmann * * University of KielNovember 4, 2010 AbstractWe combine a simple agent-based model of financial markets with a standard New Keynesian macroeconomic model via two straightforward channels. The result is a macroeconomic model that allows for the endogenous development of stock price bubbles. Even with such a simplistic comprehensive model, we can show that the behavioral foundations of the stock market exert important influence on the macroeconomy, e.g. they change the impulse-response functions of macroeconomic variables significantly. We also analyze financial market transaction taxes as well as asset price bubble deflating monetary policy, and find that both can be used to reduce volatility and distortion of the macroeconomic aggregates.JEL classification: E0, E52, G12, G18

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Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction

Cited by 92 publications

References 41 publications

Growth and Development in the Global Political Economy

Growth and Development in the Global Political Economy

The Color of Government Money. Do Investors Differently Value the Investment of Sovereign Wealth Funds?

Agent-based financial markets and New Keynesian macroeconomics: a synthesis

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