Detalle Publicación

ARTÍCULO
Long-term price overreactions: are markets inefficient?
Autores: Caporale, G. M. (Autor de correspondencia); Gil Alaña, Luis Alberiko; Plastun, A.
Título de la revista: JOURNAL OF ECONOMICS AND FINANCE
ISSN: 1055-0925
Volumen: 43
Número: 4
Páginas: 657 - 680
Fecha de publicación: 2019
Lugar: Scopus
Resumen:
This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, a number of statistical tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so-called ¿inertia anomaly¿. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter cannot be seen as inconsistent with the EMH.