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Long-Term Market Overreaction: The Effect of Low-Priced Stocks

โœ Scribed by TIM LOUGHRAN; JAY R. RITTER


Book ID
114758712
Publisher
John Wiley and Sons
Year
1996
Tongue
English
Weight
823 KB
Volume
51
Category
Article
ISSN
0022-1082

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This study examines the short-and long-term dependence in the United States and 21 international equity market indexes. Two heteroscedastic-robust testing methods, the modified rescaled range analysis and the rescaled variance ratio test, are employed to test for the existence of dependence. The evi