Overreaction and Reverse Anticipation: Two Related Puzzles?

Authors

  • Youguo Liang Cleveland State University
  • Donald J. Mullineaux University of Kentucky

DOI:

https://doi.org/10.1016/1057-0810(95)90044-6

Abstract

In this article we investigate stock price behavior before and after surprise events. We form four base portfolios and sixteen control portfolios, taking into consideration the event direction, the magnitude of event-day surprises, the potentially confounding effects due to calendar regularities in stock returns, and the ex-post outlier month of October 1987. Using capital market data from 1964 to 1989, we find a pre-event stock price behavior pattern that we call the reverse anticipation puzzle. We also confirm the existence of the overreaction pattern. The pre- and post-event stock price behavior patterns are found to be similar. The Journal of Financial Research, Spring 1994, XVII(I): 31-43. (Reprinted with permission of The Journul of Financial Research.)

Published

1995-06-30

How to Cite

Liang, Y., & Mullineaux , D. J. (1995). Overreaction and Reverse Anticipation: Two Related Puzzles?. Financial Services Review: The Journal of Individual Financial Management, 4(1), 69–70. https://doi.org/10.1016/1057-0810(95)90044-6

Issue

Vol. 4 No. 1 (1995): Financial Services Review

Section

Abstracts of Articles on Individual Financial Management

License

Copyright (c) 1995 JAI Press Inc.

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

Author(s) retain copyright and grant the Journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial 4.0 International License that allows to share the work with an acknowledgment of the work's authorship and initial publication in this Journal.

This license allows the author to remix, tweak, and build upon the original work non-commercially. The new work(s) must be non-commercial and acknowledge the original work.