Sur-réaction sur le marché tunisien des actions: une investigation empirique

Overreaction on the Tunisian stock market: an empirical test

Mohamed Ali Trabelsi

MPRA Paper from University Library of Munich, Germany

Abstract: The financial market interest several researchers, especially in the domain of assessment of the financial assets and their performances. The previous research identified several anomalies of the market, as size, Monday, January, PER effects, etc. putting in question the notion of market efficiency and thereafter the predictability of assets returns. In the same context, W.F.M. De Bondt and R. Thaler [1985] disclosed one stock course overreaction: assets having recorded bad performances in the past in stock market would know performances subsequently superior to the average and vice-versa for assets having recorded excellent performances. In this paper we study the overreaction effect on the Tunisian stock market and we show that the hypothesis of basis that consists at exploiting the negative dependence of returns is a necessary condition but not sufficient so that a market reacts giving an explanation thus to the results contradictory of the different authors on the overreaction effect.

Keywords: Assets pricing anomalies; portfolio selection; efficiency; performance; overreaction; momentum strategies (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G19 (search for similar items in EconPapers)
Date: 2009, Revised 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Working Paper: Sur-réaction sur le marché tunisien des actions: une investigation empirique (2008)
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