文章基本信息

标题：The death of the overreaction anomaly? A multifactor explanation of contrarian returns
本地全文：下载
作者：Adam Clements ; Michael E.Drew ; Evan M.Reedman 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2009
卷号：6
期号：1
页码：76-85
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：Are the returns accruing to De Bondt and Thaler's(1985)(DT)much celebrated overreaction anomaly pervasive? Using the CRSP data set used by DT for the period of 1926 through 1982,and additional two decades of data(1983 through 2003),we provide preliminary support for the original work of DT,reporting that the overreaction anomaly has not only persisted over the past twenty years but has increased when risk is unaccounted for.However,using the three-factor model of Fama and French(1993)(FF),we find no statistically significant alpha can be garnered via the overreaction anomaly,with contrarian returns seeming driven by the factors of size and value,not the hypothesized behavioral biases of investors.It is our conjecture that the anomaly is not robust under the FF framework,with 'contrarian'investors following such a scheme simply compensated for the inherent portfolio risk held.
关键词：overreaction;anomaly;multifactor asset pricing model.