Overreaction, Delayed Reaction, and Contrarian Profits
研究股票价格对特定信息的过度反应和对共同因素的延迟反应如何影响反向策略的盈利，发现大部分利润来自过度反应，而领先滞后效应贡献很小。
This article examines the contribution of stock price overreaction and delayed reaction to the profitability of contrarian strategies. The evidence indicates that stock prices overreact to firm-specific information, but react with a delay to common factors. Delayed reactions to common factors give rise to a size-related lead-lag effect in stock returns. In sharp contrast with the conclusions in the extant literature, however, this article finds that most of the contrarian profit is due to stock price overreaction and a very small fraction of the profit can be attributed to the lead-lag effect.