A Note on autocorrelations in asset returns due to market overreaction | Macquarie University ResearchOnline

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Title: A Note on autocorrelations in asset returns due to market overreaction
Related: Journal of law and financial management, Vol. 3, No. 1 (2004), p.14-17
Related: http://www.mgsm.edu.au/wps/wcm/connect/c54ec7004752a8f5a20cbee869ed1d25/Vol3-Jun04-Rath.pdf?MOD=AJPERES
Publisher: Macquarie Graduate School of Management
Date: 2004
Author/Creator: Rath, Subhrendu
Description: Using the partial price adjustment model of Amihud and Mendelson (1987), it is shown that overreaction in asset returns will produce positive and negative autocorrelations. Market overreaction research use higher order negative correlations to detect market overreaction or trading noise. A proper procedure to detect market overreaction is to use tests for alternated correlation patterns.
Description: 4 page(s)
Subject Keyword: Autocorrelation
Subject Keyword: overreaction
Subject Keyword: price adjustment
Subject Keyword: trading noise
Resource Type: Journal Of Law And Financial Management Collection
Resource Type: journal article
Organisation: Macquarie University. Macquarie Graduate School of Management

Identifier: http://hdl.handle.net/1959.14/98955
Identifier: ISSN:1446-6899
Identifier: mq-20101101-142029
Language: eng
Rights: Publisher version archived with the permission of the publisher Macquarie Graduate School of Management, Macquarie University, NSW, Australia. This archived copy is available for individual, non-commercial use. Permission to use this version for other uses must be obtained from the publisher.
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