Evidence to the contrary: extreme weekly returns are underreactions
The finding of reversals in weekly returns has been attributed to a combination of microstructure issues and overreaction to information. I provide new evidence eliminating overreaction as a source of reversal. I show that well-known weekly contrarian profits are followed by a long run of momentum...
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| Format: | Others |
| Language: | en_US |
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Texas A&M University
2004
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| Online Access: | http://hdl.handle.net/1969.1/1065 |