How to cite this paper
Valahzaghard, M & Shakourloo, A. (2014). An application of unit rate estimation on shareholders’ overreaction: Evidence from Tehran Stock Exchange.Management Science Letters , 4(5), 941-950.
Refrences
DeBondt, W.F.M., & Thaler, R. H. (1985). Does the stock market overreact?. Journal of Finance, 40, 793-805.
DeBondt, W.F.M., & Thaler, R. H. (1987). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42, 557-581.
Dickey, D., & Fuller, W. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057– 1072.
Fama, E., & French, K. (1988). Permanent and temporary components of stock prices. Journal of Political Economy, 96, 246– 273.
Gangopadhyay, P., & Reinganum, M. (1996). Interpreting mean reversion in stock returns. Quarterly Review of Economics and Finance, 36, 377– 394.
Gropp, J. (2004). Mean reversion of size-sorted portfolios and parametric contrarian strategies. Managerial Finance, 29, 5 – 21.
Jegadeesh, N. (1991). Seasonality in stock price mean reversion: evidence from the U.S. and the U.K. Journal of Finance, 46, 1427– 1444.
Kim, M., Nelson, C., & Startz, R. (1991). Mean reversion in stock prices? A reappraisal of the empirical evidence. Review of Economic Studies, 58, 515– 528.
Koutmos, G. (1999). Asymmetric index stock returns: Evidence from the G-7. Applied Economic Letters, 6, 817-820.
Kahle, K.M., & Walkling, R.A. (1996). The impact of industry classifications on financial research. Journal of Financial and Quantitative Analysis, 31, 309-335.
Kulp-Tag, S. (2007). Short-horizon asymmetric mean reversion and overreactions: Evidence from the Nordic Stock Markets. Meddelanden Working Paper, no. 524.
Liau, Y.-S., & Yang, J.J.W. (2008). The mean/volatility asymmetry in Asian Stock Markets. Applied Financial Economics, 18, 411-419.
McQueen, G. (1992). Long-horizon mean-reverting stock prices revisited. Journal of Financial and Quantitative Analysis, 27, 1 –18.
Nam, K. (2001). Stock overreaction and contrarian profits: Findings from asymmetric reversal intrinsic in time series. Paper presented at the 2001 FMA Annual Meeting in Toronto, Canada, October.
Nam, K. (2003). The asymmetric reverting property of stock returns. Studies in Nonlinear Dynamics and Econometrics, 6(4), Article 2.
Nam, K., Pyun, C.S., & Arize, A., (2002). Asymmetric mean-reversion and contrarian profits: ANST- GARCH Approach. Journal of Empirical Finance, 9, 563-588.
Nam, K., Pyun, C. S., & Avard, S. (2001). Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction. Journal of Banking and Finance, 25, 807-824.
Nam, K., Washer, K. M., & Chu, Q. C. (2005). Asymmetric return dynamics and technical trading strategies. Journal of Banking and Finance, 29, 391-418.
Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
Poterba, J. P., & Summers, L. H. (1988). Mean reversion in stock prices: Evidence and implications. Journal of Financial Economics, 22, 27?59.
Zhang, B., & Li. X. (2008). The asymmetric behavior of stock returns and volatilities: Evidence from Chinese Stock Market. Applied Economics Letters, 15, 959-962.
DeBondt, W.F.M., & Thaler, R. H. (1987). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42, 557-581.
Dickey, D., & Fuller, W. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057– 1072.
Fama, E., & French, K. (1988). Permanent and temporary components of stock prices. Journal of Political Economy, 96, 246– 273.
Gangopadhyay, P., & Reinganum, M. (1996). Interpreting mean reversion in stock returns. Quarterly Review of Economics and Finance, 36, 377– 394.
Gropp, J. (2004). Mean reversion of size-sorted portfolios and parametric contrarian strategies. Managerial Finance, 29, 5 – 21.
Jegadeesh, N. (1991). Seasonality in stock price mean reversion: evidence from the U.S. and the U.K. Journal of Finance, 46, 1427– 1444.
Kim, M., Nelson, C., & Startz, R. (1991). Mean reversion in stock prices? A reappraisal of the empirical evidence. Review of Economic Studies, 58, 515– 528.
Koutmos, G. (1999). Asymmetric index stock returns: Evidence from the G-7. Applied Economic Letters, 6, 817-820.
Kahle, K.M., & Walkling, R.A. (1996). The impact of industry classifications on financial research. Journal of Financial and Quantitative Analysis, 31, 309-335.
Kulp-Tag, S. (2007). Short-horizon asymmetric mean reversion and overreactions: Evidence from the Nordic Stock Markets. Meddelanden Working Paper, no. 524.
Liau, Y.-S., & Yang, J.J.W. (2008). The mean/volatility asymmetry in Asian Stock Markets. Applied Financial Economics, 18, 411-419.
McQueen, G. (1992). Long-horizon mean-reverting stock prices revisited. Journal of Financial and Quantitative Analysis, 27, 1 –18.
Nam, K. (2001). Stock overreaction and contrarian profits: Findings from asymmetric reversal intrinsic in time series. Paper presented at the 2001 FMA Annual Meeting in Toronto, Canada, October.
Nam, K. (2003). The asymmetric reverting property of stock returns. Studies in Nonlinear Dynamics and Econometrics, 6(4), Article 2.
Nam, K., Pyun, C.S., & Arize, A., (2002). Asymmetric mean-reversion and contrarian profits: ANST- GARCH Approach. Journal of Empirical Finance, 9, 563-588.
Nam, K., Pyun, C. S., & Avard, S. (2001). Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction. Journal of Banking and Finance, 25, 807-824.
Nam, K., Washer, K. M., & Chu, Q. C. (2005). Asymmetric return dynamics and technical trading strategies. Journal of Banking and Finance, 29, 391-418.
Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
Poterba, J. P., & Summers, L. H. (1988). Mean reversion in stock prices: Evidence and implications. Journal of Financial Economics, 22, 27?59.
Zhang, B., & Li. X. (2008). The asymmetric behavior of stock returns and volatilities: Evidence from Chinese Stock Market. Applied Economics Letters, 15, 959-962.