Further Evidence on Investor Overreaction and Stock Market Seasonality
发现长期极端涨跌的股票会出现价格反转，过去亏损者显著跑赢过去盈利者，支持投资者过度反应假说，并排除了公司规模和风险差异的替代解释，同时发现一月超额收益与短期和长期历史表现及前一年市场回报相关。
In a previous paper, we found systematic price reversals for stocks that experience extreme long-term gains or losses: Past losers significantly outperform past winners. We interpreted this finding as consistent with the behavioral hypothesis of investor overreaction. In this follow-up paper, additional evidence is reported that supports the overreaction hypothesis and that is inconsistent with two alternative hypotheses based on firm size and differences in risk, as measured by CAPM-betas. The seasonal pattern of returns is also examined. Excess returns in January are related to both short-term and long-term past performance, as well as to the previous year market return.