Testing the overreaction hypothesis in the mexican stock market

Jiménez, Jaime González Maiz; Calisto, Edgar Ortíz

doi:10.22201/fca.24488410e.2019.1794

Cited by 2 publications

(3 citation statements)

References 41 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Therefore, financial behavior can explain financial inefficiencies, such as market anomalies (Hudson & Muradoglu, 2020). In EMH, the market does not allow investors to get abnormal returns (Jiménez & Calisto, 2020;Liu et al, 2022). Conversely, market anomalies enable investors to obtain abnormal returns or profits (Jiménez & Calisto, 2020;Plastun, Kozmenko, Plastun, & Filatova, 2019).…”

Section: Literature Review and Hypothesismentioning

confidence: 99%

“…In EMH, the market does not allow investors to get abnormal returns (Jiménez & Calisto, 2020;Liu et al, 2022). Conversely, market anomalies enable investors to obtain abnormal returns or profits (Jiménez & Calisto, 2020;Plastun, Kozmenko, Plastun, & Filatova, 2019). Cirino et al (2023) state that there is a possibility of abnormal returns based on available information, and this phenomenon has become known as a market anomaly or financial anomaly.…”

Section: Literature Review and Hypothesismentioning

confidence: 99%

“…Behavioral finance is a science that combines finance and psychology (Thaler, 1999). Behavioral finance examines investors' reasoning patterns for information, including the emotional processes involved and how these processes influence investors in determining investment strategies (Jiménez & Calisto, 2020;Ricciardi & Simon, 2000). In investor behavior, many behavioral biases can be related to irrational pricing (Azevedo & Hoegner, 2023;Traut, 2023).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Investigation of winner-loser portfolio anomalies and size effect anomalies in LQ45 index, Indonesia stock exchange

Miswanto,

Putri

2023

View full text Add to dashboard Cite

This study investigates the anomalies of winner-loser portfolios and anomalies of size effect on LQ45 stocks in the Indonesia Stock Exchange (IDX), period 2015-2020. The paired sample t-test (parametric) and Wilcoxon test (non-parametric) are used to test samples. Sample selection is carried out using the non-probability and purposive sampling methods. The shares of companies that met the sample criteria were 26. The primary data used cumulative abnormal returns and market capitalization as proxies for a company's stock size. The anomaly of the winner-loser effect phenomenon is observed by dividing the data into two periods: the formation period and the testing period. The periods are both short-term and long-term. The short-term period is six months, and the long-term is 12 months. The first finding shows reversals in average cumulative abnormal returns (CARs) on the winner-loser stock portfolio. In the testing period, the average CARs were turned down, and many average CARs became negative. Portfolio loser in the testing period, the average CARs reversed to positive. The second is a reversal in average CARs in winner-loser stock portfolios caused by the size effect. The performance of small winner-loser portfolios is proven to outperform big winners' portfolios. The reversal occurs in both the short-term and long-term. This finding suggests that behavioral finance can explain this market anomaly, and it is helpful for investors in coming up with strategies to get abnormal returns.

show abstract