By Werner F. De Bondt
ISBN-10: 0943205131
ISBN-13: 9780943205137
Read Online or Download Earnings Forecasts and Share Price Reversals PDF
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Additional resources for Earnings Forecasts and Share Price Reversals
Example text
Buckmaster. 1976. "Further Evidence on the Tie-Series Properties of Accounting Income. " Journal of Finance (December): 1359-73. Chopra, Navin; Josef Lakonishok; and Jay R. Ritter. 1992. " Forthcoming in Journal of Financial Economics. M. 1992. " Working paper, School of Business, University of Wisconsin-Madison Uanuary). , and Richard H. Thaler. 1985. " Journal of Finance Uuly): 793-805. 1987. "Further Evidence on Investor Overreaction and Stock Market Seasonality. " Journal of Finance Uuly): 557-81.
5. Conclusion Previous research finds mean reversion in stock prices, both cross-sectionally (De Bondt and Thaler 1985, Ball and Kothari 1989, and Chopra et al. 1991) and at the aggregate level (Fama and French 1988, Poterba and Summers 1988). Broadly speaking, this phenomenon could have three sets of (not mutually exclusive) explanations. One view is that mean reversion does not really exist but amounts to a statistical artifact. A second view is that mean reversion is to be expected if either the objective riskiness of a stock or the rationally required compensation for risk systematically changes through time, perhaps with the business cycle.
De Bondt. 1992. " Working Paper, School of Business, University of Wisconsin (January). Zarowin, Paul. 1989. " Journal of Finance (December): 13851400.
Earnings Forecasts and Share Price Reversals by Werner F. De Bondt
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