On the computation of returns in tests of the stock market overreaction hypothesis

by Gishan Dissanaike
Journal of Banking and Finance ()
Get full text at journal


A number of recent studies have attempted to find out whether investors overreact. We argue that, in many of these studies, the method used to compute cumulative returns-the arithmetic method-is flawed, and we show that estimates of portfolio performance can be affected. Our findings are relevant not only to tests of the overreaction hypothesis but to other areas in finance, where the arithmetic method and event-study approach are used. © 1994.

Cite this document (BETA)

Readership Statistics

6 Readers on Mendeley
by Discipline
33% Economics
17% Mathematics
17% Business Administration
by Academic Status
33% Ph.D. Student
17% Other Professional
17% Lecturer
by Country
17% Portugal
17% Brazil

Sign up today - FREE

Mendeley saves you time finding and organizing research. Learn more

  • All your research in one place
  • Add and import papers easily
  • Access it anywhere, anytime

Start using Mendeley in seconds!

Sign up & Download

Already have an account? Sign in