Long‐Term Market Overreaction or Biases in Computed Returns?
发现以往研究中长期反向策略的收益被高估，因为累积单期收益放大了测量误差导致的偏差，且剔除偏差后输家或赢家公司的真实收益与过度反应无关。
ABSTRACT We show that the returns to the typical long‐term contrarian strategy implemented in previous studies are upwardly biased because they are calculated by cumulating single‐period (monthly) returns over long intervals. The cumulation process not only cumulates “true” returns but also the upward bias in single‐period returns induced by measurement errors. We also show that the remaining “true” returns to loser or winner firms have no relation to overreaction. This study has important implications for event studies that use cumulative returns to assess the impact of information events.