| Article ID: | iaor201522970 |
| Volume: | 12 |
| Issue: | 3 |
| Start Page Number: | 245 |
| End Page Number: | 252 |
| Publication Date: | Sep 1989 |
| Journal: | Journal of Financial Research |
| Authors: | Davidson Wallace N, Dutia Dipa |
| Keywords: | behaviour, investment |
Researchers have debated stock market efficiency for years and have found several apparent anomalies, among them the overreaction investment strategy. In a sample of virtually all AMEX and NYSE stocks over twenty‐one years, it is demonstrated that abnormal returns earned in one year are positively related to the abnormal returns earned in the next year. This evidence is contrary to the overreaction investment philosophy.