Sign up & Download
Sign in

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

by Gishan Dissanaike
Journal of Banking & Finance ()

Abstract

A number of recent studies have attempted to find out whether investors overract. 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 even-study approach are used.

Cite this document (BETA)

Page 1
hidden
Page 2
hidden

Readership Statistics

5 Readers on Mendeley
by Discipline
 
 
by Academic Status
 
20% Other Professional
 
20% Researcher (at an Academic Institution)
 
20% Ph.D. Student
by Country
 
20% Portugal
 
20% 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