Does the Stock Market Overreact?
基于CRSP月度回报数据，检验股市是否对意外重大新闻过度反应，发现弱势市场效率显著不足，且输家组合在组合形成后五年内一月回报异常高。
Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to “overreact” to unexpected and dramatic news events. This study of market efficiency investigates whether such behavior affects stock prices. The empirical evidence, based on CRSP monthly return data, is consistent with the overreaction hypothesis. Substantial weak form market inefficiencies are discovered. The results also shed new light on the January returns earned by prior “winners” and “losers.” Portfolios of losers experience exceptionally large January returns as late as five years after portfolio formation.