Continuing Overreaction and Stock Return Predictability
研究基于加权符号成交量的持续过度反应指标对股票收益的预测能力，发现买入持续向上过度反应股票、卖出向下过度反应股票能获得显著正收益，且该指标优于历史收益的预测效果。
We study the return predictability of a measure of continuing overreaction based on the weighted average of signed volumes. We find that the strategies of buying stocks with upward continuing overreaction and selling stocks with downward continuing overreaction generate significant positive returns and that our measure of continuing overreaction is a better predictor of future returns than past returns. The results are stronger among stocks primarily held by investors more prone to biased self-attribution. Our results provide direct support for the model of return predictability based on overconfidence and biased self-attribution.