Long‐Term Market Overreaction: The Effect of Low‐Priced Stocks
检验了Conrad和Kaul（1993）对De Bondt和Thaler（1985）长期过度反应结论的质疑，发现使用累积平均收益率或买入持有收益率对检验结果影响不大，且价格在横截面回归中预测能力弱，差异主要源于统计方法问题。
ABSTRACT Conrad and Kaul (1993) report that most of De Bondt and Thaler's (1985) long‐term overreaction findings can be attributed to a combination of bid‐ask effects when monthly cumulative average returns (CARs) are used, and price, rather than prior returns. In direct tests, we find little difference in test‐period returns whether CARs or buy‐and‐hold returns are used, and that price has little predictive ability in cross‐sectional regressions. The difference in findings between this study and Conrad and Kaul's is primarily due to their statistical methodology. They confound cross‐sectional patterns and aggregate time‐series mean reversion, and introduce a survivor bias. Their procedures increase the influence of price at the expense of prior returns.