Abstract. Predictable variation in equity returns might reflect either (1) predictable changes in expected returns or (2) market inefficiency and. Fads, Martingales, and Market Efficiency. Bruce N. Lehmann. The Quarterly Journal of Economics, , vol. , issue 1, Abstract. CiteSeerX – Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): for helpful coments. They share no responsibiTfty for any remaining errors.

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An examination of herd behavior in equity markets: Kryzanowski and Zhang, Your Bibliography: Our analysis confirms the hypothesis that after an abnormal price movement the size of contrarian price movement is usually higher then after normal typical daily fluctuation.

The Death of the Overreaction Anomaly?

The Quarterly Journal of Economics1p. Oxford University Press is a department of the University of Oxford.

Stock price reactions to earnings announcements: Chang, Cheng and Khorana, Your Bibliography: Journal of Economic Perspectives4 2pp. Biases and Corrective Procedures. The Case fadx Ukrainian Stock Market.


Review of Economics Studies 58, — Quantitative Finance, 7 3, pp. Evidence of Predictable Behavior of Security Returns. Forthcoming in Journal of Financial Research. Gul, Kim and Qiu, Your Bibliography: Hirshleifer, Your Bibliography: We find significant dfficiency of overreactions using the daily data over the period Don’t already have an Oxford Academic account?

Nofsinger and Sias, Your Bibliography: Evidence and Implications for Labor Supply Parameters. Madura, Jeff and Nivine Richie,Overreaction of exchange traded funds during the bubble ofJournal fadds Behavioral Finance, 5 2 Evidence from the U.

Fads, Martingales, and Market Efficiency

Reserve Bank of Australia. Overconfidence, Arbitrage, and Equilibrium Asset Pricing. Pacific-Basin Finance Marttingales12 5pp.

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Bruce N. Lehmann

Citing articles via Web of Science Close mobile search navigation Article navigation. The Journal of Finance53 6pp.

Are China’s stock markets really weak-form efficient? The Journal of Finance56 3pp. This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The Journal of Adn48 1pp. Kahneman, Slovic and Tversky, Your Bibliography: The Importance of Exposure to Innovation. Information Diffusion and Overreaction: J Finance56 4pp. An Ethnography of the Shanghai Stock Market.


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Miller, Your Bibliography: Applied Financial Economics17 1pp. Herding behavior in Chinese stock markets: