Is Stock Market Overreaction Persistent Over Time?
检验了股市过度反应假说的稳定性，发现基于该假说的反向投资策略收益并非时间平稳，尤其在战后和能源危机后时期效果减弱，因此其有效性存疑。
This paper examines the stability and persistence of the market overreaction hypothesis as posited by DeBondt and Thaler (1985 and 1987), and reinforced by Chopra, Lakonishok, and Ritter (1992). Using monthly CRSP data for the period 1926 through 1992, we find that returns obtained from a contrarian investment strategy are not time‐stationary. Specifically, there is no winner‐loser portfolio relationship during the post‐war period of 1940_50s. The relationship resumes during the pre‐energy‐crisis subperiod, but weakens again during the post‐energy‐crisis subperiod. The effectiveness of trading based upon the overreaction hypothesis is, therefore, suspect.