 Overreaction and the cross-section of returns: International evidenceDouglas W. Blackburn and Nusret Cakici Journal of Empirical Finance, 2017, vol. 42, issue C, 1-14 Abstract: A number of theories have linked price momentum with price reversals. While significant empirical evidence has shown the presence of momentum in global equity returns, there have been no large-scale global studies of the subsequent long-term price reversal. We study returns from twenty-three developed countries categorized into the regions of North America, Europe, Japan, and Asia, over 1993–2014 and find evidence supporting the global presence of long-term price reversals. The positive return differential between loser stocks over the past three years and winner stocks over the past three years is economically and statistically significant. Results from independent double sorts and from Fama-MacBeth regressions show that long-term reversals remain significant after controlling for size, book-to-market equity, and momentum. Keywords: F30; G02; G10; G11; G12; Return predictability; Overreaction; Long-term reversals; Market efficiency; Cross-section of returns; International asset pricing (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:42:y:2017:i:c:p:1-14 DOI: 10.1016/j.jempfin.2017.02.001 Access Statistics for this article Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff More articles in Journal of Empirical Finance from Elsevier |
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