 Short-Term Overreaction to Specific Events: Evidence from an Emerging MarketSabri Boubaker, Hisham Farag and Duc Khuong Nguyen Post-Print from HAL Abstract: This paper investigates the short-term overreaction to specific events and whether stock prices are predictable in the Egyptian stock exchange (EGX). We find evidence of the short-term overreaction in the EGX. Losers ("bad news" portfolios) significantly outperform winners ("good news" portfolios) and investors can earn abnormal return by selling the winners and buying losers. Terrorist attacks have negative and significant abnormal returns for three days post event followed by price reversals on day four post event. Whereas, the tensions in the Middle East region have a negative and significant abnormal returns on event day followed by price reversals on day one post event. Moreover, the formation of a new government has no effect on the average abnormal returns post event in the EGX. The results also show that small firms tend to have greater price reversals compared to large firms. Overall, our results provide evidence of the leakage of information in the EGX. Keywords: Emerging markets; Price reversal; Overreaction hypothesis (search for similar items in EconPapers) Published in Research in International Business and Finance, 2015, 35, pp.153-165. ⟨10.1016/j.ribaf.2014.10.002⟩ There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01158095 DOI: 10.1016/j.ribaf.2014.10.002 Access Statistics for this paper More papers in Post-Print from HAL |
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