How to cite this paper
Valahzaghard, M & Shakourloo, A. (2014). Stockholder overreaction and mean reversion: Evidence from Tehran Stock Exchange.Management Science Letters , 4(5), 951-960.
Refrences
Barber, B. M., & Odean, T. (2001). Boys will be boys: Gender, overconfidence, and common stock investment. The Quarterly Journal of Economics, 116(1), 261-292.
Box, G. E., & Pierce, D. A. (1970). Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. Journal of the American Statistical Association, 65(332), 1509-1526.
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.
Doran, J.S., Peterson, D.R., & Wright, C. (2010). Confidence, opinions of market efficiency, and investment behavior of finance professors. Journal of Financial Markets 13 (1), 174–195.
Fama, E., & French, K. (1988). Permanent and temporary components of stock prices. Journal of Political Economy, 96, 246– 273.
Fama, E.F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25 (2), 383–417.
Gangopadhyay, P., & Reinganum, M. R. (1996). Interpreting mean reversion in stock returns. The Quarterly Review of Economics and Finance, 36(3), 377-394.
Gropp, J. (2003). Mean reversion of size-sorted portfolios and parametric contrarian strategies. Managerial Finance, 29(10), 5-21.
Jegadeesh, N. (1991). Seasonality in stock price mean reversion: Evidence from the US and the UK. The Journal of Finance, 46(4), 1427-1444.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48 (1), 65–91.
Jenkins, G.M. (1982). Some practical aspects of forecasting in organizations. Journal of Forecasting, 1, 3-21.
Kahle, K. M., & Walkling, R. A. (1996). The impact of industry classifications on financial research. Journal of Financial and Quantitative Analysis, 31(03), 309-335.
Koutmos, G. (1999). Asymmetric index stock returns: evidence from the G–7.Applied Economics Letters, 6(12), 817-820.
Simon, H.A. (1955). A behavioral model of rational choice. Quarterly Journal of Economics, 69(1), 99–118.
Slutsky, E. (1937). The sommation of random causes as the source of cyclic processes. Econometrica, 5, 105-146.
Yule, G.U. (1926). Why do we sometimes get nonsense-correlations between time series? A study in sampling and the nature of time series. Journal of Royal Statistical Society, 89, 1-64.
Box, G. E., & Pierce, D. A. (1970). Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. Journal of the American Statistical Association, 65(332), 1509-1526.
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.
Doran, J.S., Peterson, D.R., & Wright, C. (2010). Confidence, opinions of market efficiency, and investment behavior of finance professors. Journal of Financial Markets 13 (1), 174–195.
Fama, E., & French, K. (1988). Permanent and temporary components of stock prices. Journal of Political Economy, 96, 246– 273.
Fama, E.F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25 (2), 383–417.
Gangopadhyay, P., & Reinganum, M. R. (1996). Interpreting mean reversion in stock returns. The Quarterly Review of Economics and Finance, 36(3), 377-394.
Gropp, J. (2003). Mean reversion of size-sorted portfolios and parametric contrarian strategies. Managerial Finance, 29(10), 5-21.
Jegadeesh, N. (1991). Seasonality in stock price mean reversion: Evidence from the US and the UK. The Journal of Finance, 46(4), 1427-1444.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48 (1), 65–91.
Jenkins, G.M. (1982). Some practical aspects of forecasting in organizations. Journal of Forecasting, 1, 3-21.
Kahle, K. M., & Walkling, R. A. (1996). The impact of industry classifications on financial research. Journal of Financial and Quantitative Analysis, 31(03), 309-335.
Koutmos, G. (1999). Asymmetric index stock returns: evidence from the G–7.Applied Economics Letters, 6(12), 817-820.
Simon, H.A. (1955). A behavioral model of rational choice. Quarterly Journal of Economics, 69(1), 99–118.
Slutsky, E. (1937). The sommation of random causes as the source of cyclic processes. Econometrica, 5, 105-146.
Yule, G.U. (1926). Why do we sometimes get nonsense-correlations between time series? A study in sampling and the nature of time series. Journal of Royal Statistical Society, 89, 1-64.