OVERRΕACTION ANALYSIS IN STATE-OWNED EQUITIES
Journal Title: Asian Economic and Financial Review - Year 2017, Vol 7, Issue 3
Abstract
This paper challenges the research hypothesis that psychological factors and market sentiment can influence and alter the trajectory of state-owned equities. For this purpose, an overreaction analysis was performed in a wide data spectrum consisting of daily returns of 184 state-owned enterprises operating in countries from three continents, over a ten year period divided in five biannual test periods. Portfolio separation and Cumulative Abnormal Returns generated no evidence towards the existence of overreaction phenomena across all test-periods. Average and Median Cumulative Abnormal Returns, tested with parametric and nonparametric statistical analysis, did not exhibit reversal patterns in the behavior of loser and winner portfolios, thus neutralizing the possibility of earlier overreaction in the state-owned stocks under study. The outcome concerning state-owned enterprises contrasts with the corresponding research hypothesis and outcomes in the literature regarding behavioral economics and overreaction effects in private enterprises.
Authors and Affiliations
George Bakos| Department of Public Administration, Panteion University, Kalithea, Athens, Greece, George Petrakos*| Department of Public Administration, Panteion University, Kalithea, Athens, Greece
Keywords
Related Articles
- EP ID EP2340
- DOI -
- Views 528
- Downloads 43
ESCAPING THE DUTCH DISEASE: THE ROLE OF PUBLIC INVESTMENT IN NIGER
This paper describes the use of a recursive dynamic computable general equilibrium model to the analysis of two investment strategies of natural resources revenue in Niger. Potential impact of education and infrastructur...
EXCHANGE RATE FLUCTUATIONS AND MACROECONOMIC PERFORMANCE IN SUB-SAHARAN AFRICA: A DYNAMIC PANEL COINTEGRATION ANALYSIS
In the light of the widespread effects of the recent global financial crisis on exchange rate and other macroeconomic developments, this paper investigates the implications of exchange rate fluctuations on output and oth...
MARKET EFFICIENCY OF ASEAN STOCK MARKETS
In this paper, we examine the stock market efficiency of the members of the Association of South East Asian Nations (ASEAN). We use the conventional individual variance ratio tests like the Lo and MacKinlay (1988) test,...
Good Money’ Chasing ‘Bad Money’: Implications for MFIs Management and Governance in Ghana
Despite the conviction that microfinance is able to reduce poverty among low income groups, one challenge that still remains in the sector is high default rate.
INFLATION THRESHOLDS AND ECONOMIC GROWTH: EVIDENCE FROM NIGERIA
Inflation is one of the most challenging macroeconomic objectives capable of frustrating every pragmatic effort at achieving other macroeconomics goals if not curtailed. To this end, the paper empirically examines the th...