Using Various Portfolio Formation and Test Periods: An Examination of Overreaction in ISE
Gamze Vural and
Istanbul Stock Exchange Review, 2012, vol. 13, issue 49, 1-18
In this paper whether the Overreaction Hypothesis was valid and the contrarian investment strategies were useful to earn supernormal returns with different time horizons, were examined in Istanbul Stock Exchange (ISE). These forenamed time horizons were 1, 2, 3, 6, 12, 24 and 36-month periods. The examination was performed through a modified version of the method of DeBondt and Thaler (1985) with overlapping periods. In conclusion of the analysis, results supporting Overreaction Hypothesis and effectiveness of the contrarian strategies were found in most of the portfolio formation and test periods. This may indicate that ISE is not weak form efficient.
Keywords: Efficient Markets Hypothesis; Behavioral Finance; Overreaction Hypothesis; ISE. (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:13:y:2012:i:49:p:1-18
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