On the efficiency of intra-industry information transfers: The dilution of the overreaction anomaly

Chung, Dennis Y.; Hrazdil, Karel; Trottier, Kim

doi:10.1016/j.jbankfin.2015.08.013

Cited by 10 publications

(8 citation statements)

References 55 publications

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“…Our findings on the presences of overreaction and underreaction in the Indonesian stock market was very much in line with the previous studies in the stock markets of the USA (Abebe Assefa et al , 2014; Chung et al , 2015; Piccoli et al , 2017), Europe (Bessière and Elkemali, 2014), Australia (Durand, 2013), India (Ansari and Khan, 2012; Maheshwari and Dhankar, 2017), Mauritius (Subadar Agathee, 2012), Egypt (Boubaker et al , 2015) and China (Zainudin and Hussin, 2015). Similarly, these empirical findings also confirmed the earlier findings on the presence of the anomaly in the Indonesian stock market (Sumiyana, 2009; Octavio and Lantara, 2014; Faisal and Majid, 2016; Andriansyah, 2017).…”

Section: Findings and Discussionsupporting

confidence: 92%

“…By using the recent advancements in market microstructure research, Chung et al (2015) explore the existence of the overreaction anomaly in the US stock market during the 1973-2005 period. They find that the existence of the overreaction anomaly was specific to the earlier period and results from the inefficient incorporation of information into prices, largely attributable to an environment with high barriers to arbitrage.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In the advanced stock markets, the studies on the overreaction anomaly have been investigated by Abebe Assefa et al (2014); Chung et al (2015) and Piccoli et al (2017) in the USA; Bessière and Elkemali (2014) in Europe; and Durand et al (2013) in Australia. Abebe Assefa et al (2014) found stock market overreaction for a sample of the large US firms; thus, the contrarian strategy was relevant to rebalancing investment portfolios into this market.…”

Section: Introductionmentioning

confidence: 99%

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Overreaction and underreaction anomalies in the Indonesian stock market: a sectoral analysis

Musnadi

Faisal

Majid

2018

International Journal of Ethics and Systems

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Purpose This purpose of this study is to empirically investigate the investors overreaction and underreaction behaviours across the sectoral stock indices in the Indonesian stock market. Design/methodology/approach Nine weekly sectoral stock indices, comprising agriculture; mining; basic industry and chemicals; miscellaneous industry; consumer goods industry; property and real estate; infrastructure, utilities and transportation; finance; and trade, service and investment for the period 2009-2012 were analysed using the paired dependent sample t-test. To provide more insightful empirical evidence, the presence of market anomaly of investor’s overreaction and underreaction was examined on five observations with different vulnerable times. Findings The study documented that the overreaction anomaly was present among the winner portfolios in the entire sectoral indices. With the exception of the sectoral index of basic industry and chemicals on the loser portfolio, the study documented the presence of underreaction anomaly among all other sectoral indices in Indonesia. These findings implied that the investors might be able to gain significant profits investing their monies in the sectoral stock market in Indonesia by implementing the contrarian strategy. Originality/value Originality in this paper lies in the discussion of overreaction of investors in Indonesia where the stock market has great potential and has different characteristics and different problems from other regions.

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Section: Findings and Discussionsupporting

confidence: 92%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Overreaction and underreaction anomalies in the Indonesian stock market: a sectoral analysis

Musnadi

Faisal

Majid

2018

International Journal of Ethics and Systems

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“…The graph is based on our sample of 57 stocks, for which we have all control variables available during January 2003 to December 2013, and indicates a gradual decrease in SHRP (increased efficiency of price discovery) over time. Chung et al (2015) reported similar trend in analyzing SHRP over time for NYSE and NASDAQ-traded securities and document a higher efficiency of price discovery for the USA stocks relative to our sample of Canadian firms.…”

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confidence: 69%

Disclosure quantity and the efficiency of price discovery

Chung

Hrazdil

Suwanyangyuan

2016

RAF

Self Cite

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Purpose The purpose of this paper is to investigate the effect of the information disclosure quantity on the pricing efficiency of stocks. Design/methodology/approach Using a sample of large and actively traded Canadian companies listed on the Toronto Stock Exchange, the authors utilize annual reports filed on system for electronic document analysis and retrieval (SEDAR) between 2003 and 2013 to estimate the amount of publicly available information and find that the length and size of annual reports are important determinants of short-horizon return predictability from historical order flows, which is an inverse indicator of market efficiency. Findings The results show that longer and larger annual reports are associated with reduced information asymmetry, lower cost of immediacy, higher trading activity, and an overall improvement in the efficiency of price discovery. The results are robust to the inclusion of controls for various determinants of short-horizon return predictability, such as trading costs, volatility, informational effects and other firm-specific characteristics. Research Limitations/implications Collectively, the findings provide empirical support for the benefits of detailed corporate disclosure in Canada. Originality/value This is the first study to utilize the short-horizon return predictability approach to evaluate the efficiency of price discovery in relation to the amount of information disclosure.

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“…These companies tend to merge, acquire, and pay more for the acquisition (Lai, Lin, & Chen, 2017). Moreover, overconfident management prefers lower dividend payouts, tends to engage in inappropriate financial reporting to beat or meet their overly optimistic earnings expectations, is more likely to delay the recognition of losses, and is inclined to represent previously issued financial statements (Chung, Hrazdil, & Trottier, 2015). Overall, the results of the study show that overconfident management influences corporate financial reporting behavior, reduces the quality of financial reporting, generates more earnings management, reduces the use of conservative accounting, and more frequently reports on restatements of financial statements.…”

Section: Managerial Overconfidencementioning

confidence: 99%

Forecasting Corporate Bankruptcy Based on Managerial Overconfidence Using the Adaptive Neuro-Fuzzy Inference System

Seputra¹

2020

Proceedings of the 3rd International Conference on Vocational Higher Education (ICVHE 2018)

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This purpose of this study is to examine the relationship between managerial overconfidence and the prediction of bankruptcy and likelihood of the auditor's hesitation of the company's going concern over the financially distressed companies listed on the Indonesian Stock Exchange during 2014-2016. Managerial overconfidence is defined as the manager's excessive confidence that can be measured when the growth of the company's assets is higher than its sales growth. The financial condition is measured by the prediction of bankruptcy using the adaptive neuro-fuzzy inference system (ANFIS) model. The results showed that the likelihood of an auditor's hesitation of the company's going concerns is positively associated with managerial overconfidence in Indonesia because the auditor has a positive view on the ability of management. In addition, there is the likelihood that the auditor's hesitation of a company's going concerns is positively associated with the prediction of bankruptcy.

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On the efficiency of intra-industry information transfers: The dilution of the overreaction anomaly

Cited by 10 publications

References 55 publications

Overreaction and underreaction anomalies in the Indonesian stock market: a sectoral analysis

Overreaction and underreaction anomalies in the Indonesian stock market: a sectoral analysis

Disclosure quantity and the efficiency of price discovery

Forecasting Corporate Bankruptcy Based on Managerial Overconfidence Using the Adaptive Neuro-Fuzzy Inference System

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