Sur-réaction sur le marché tunisien des actions : une investigation empirique

Trabelsi, Mohamed Ali (2009): Sur-réaction sur le marché tunisien des actions : une investigation empirique. Published in: La Revue des Sciences de Gestion , Vol. 236, (2009): pp. 51-58.

Abstract

The financial market interest several researchers, especially in the domain of assessment of the financial assets and their performances. The previous research identified several anomalies of the market, as size, Monday, January, PER effects, etc. putting in question the notion of market efficiency and thereafter the predictability of assets returns. In the same context, W.F.M. De Bondt and R. Thaler [1985] disclosed one stock course overreaction: assets having recorded bad performances in the past in stock market would know performances subsequently superior to the average and vice-versa for assets having recorded excellent performances. In this paper we study the overreaction effect on the Tunisian stock market and we show that the hypothesis of basis that consists at exploiting the negative dependence of returns is a necessary condition but not sufficient so that a market reacts giving an explanation thus to the results contradictory of the different authors on the overreaction effect.

• Item Type: MPRA Paper
• English Title: Overreaction on the Tunisian stock market: an empirical test
• Language: French
• Keywords: Assets pricing anomalies, portfolio selection, efficiency, performance, overreaction, momentum strategies
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G19 - Other

References

Akgiray V., Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts, Journal of Business, (1989), 62, 1, pp. 55-80.

Alonso A. et Rubio G., Overreaction in the Spanish Equity market, Journal of Banking and Finance, (1990), 14, pp. 469-481.

Atkins A.B. and Dyle A., Price Reversals, Bid Ask Spread, and Market Efficiency, Journal of Financial and Quantitative Analysis, (1990), 25, 4, pp. 535-547.

Ball R, Kothari S.P. et Shanken J., Problems in Measuring Portfolio Performance. An Application to Contrarian Investment Strategies, Journal of Financial Economics, (1989), 38, pp.79-107.

Banz R.W., The relationship between return and market value of common stocks, Journal of Financial Economics, (1981), 9, pp.3-18.

Basu S., The relationship between earnings’ yield, market value and return for NYSE common stocks, Journal of Financial Economics, (1983), 12, pp.129-156.

Blume M.E. et Stambaugh R.F., Biases in Computed Returns: an Application to the Size Effect, Journal of Financial Economics, (1983), 12, pp.387-404.

Broquet C., Cobbaut R., Gillet R. et van den Berg A., Gestion de portefeuille, 3ème éd., De Boeck Université, (1997).

Chan L.K.C., On the Contrarian Investment Strategy, Journal of Business, (1988), 61, 2, pp. 147-163.

Chan L.K.C., Hamao Y. and Lakonishok J., Fundamentals and Stock Returns in Japan, Journal of Finance, (1991), 46, pp. 1739-1764.

Chang R.P, McLeavy D.W. et Rhee G., Short-term Abnormal Returns of the Contrarian Strategy in the Japanese Stock Market, Journal of Business Finance and Accounting, (1995), 22,7, pp. 1035-1048.

Clare A. and Thomas S., The Overreaction Hypothesis and the UK Stock Market, Journal of Business Finance & Accounting, (1995), 22, 7, pp.961-973.

Conrad J.S., Gultekin M.N. et Kaul G., Asymetric predictibility of conditional variances, The Review of Financial Studies, (1991), 4, pp.597-622.

Conrad J.S. and Kaul G., Long-term Market Overreaction or Biases in Computed Returns, Journal of Finance, (1993), 48, 1, pp. 39-63.

Cox D. and Peterson D., Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance, Journal of Finance, (1994), 49, pp.255-267.

Da Costa N.C.A.,Jr., Overreaction in the Brazilian Stock Market, Journal of Banking and Finance, (1994), 18, pp. 633-642.

De Bondt W.F.M. et Thaler R., Does the Stock Overreact? Journal of Finance, (1985), 42, 3, pp. 793-808.

De Bondt W.F.M. et Thaler R., Further Evidence on Investor Overreaction and Stock Market Seasonnality, Journal of Finance, (1987), 42, 3, pp. 557-581.

Fama E., Efficients capital market : A review of theory and empirical work, Journal of Finance, (1970), 25, pp.383-417.

Fama E. et French K.R., Dividend Yields and Expected Stock Returns, The Journal of Financial Economics, (1988), 22, 2, pp. 3-25.

Fama E., Efficients capital markets II, Journal of Finance, (1991), vol. XLVI, 5, pp.1575-1617.

Fama E. et French K.R., The Cross-Section of Expected Stock Returns, The Journal of Finance, vol. XLVII, (1992), 2, pp.427-465.

Fama E. et French K.R., Size and book-to-market factors in earnings and returns, Journal of Finance, (1995), 50, 1, pp. 131-156.

Fama E. et French K.R., Multifactor Explanations of Assets Pricing Anomalies, The Journal of Finance, (1996b), pp.55-84.

Hamon J. et Jacquillat. B., Le marché français Des Actions : Etudes Empiriques 1977-1991, PUF, (1992).

Jacquillat B. et Solnik B., Marchés financiers, gestion de portefeuille et des risques, 3ème éd., Dunod, (1997).

Jegadeesh N. and Titman S., Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance, (1993), 48, pp. 65-91.

Jegadeesh N. and Titman S., Short-horizon return reversals and the bid-ask spread, Journal of Financial Intermediation, (1995), 4, pp. 116-132.

Kaul G. and Nimalendran M., Price reversals: Bid-ask errors or market overreaction? Journal of Financial Economics, (1990), 28, pp. 67-93.

Keynes J.M., The General Theory of Employment, Interest and Money, (1936).

Lakonishok J., Shleifer A. et Vishny R.W., Contrarian Investment, Extrapolation and Risk, Journal of Finance, (1994), 49, pp. 1541-1578.

Lehmann B.N., Fads, Martingales,and Market Efficiency, Quarterly Journal of Economics, (1990), pp.1-28.

Lo A.W. and MacKinlay A.C., When are Contrarian Profits due to Stock Market Overreaction, Review of Financial Studies, (1990), 3, 2, pp.175-205.

Maî H.M., Sur- réaction sur le Marché Français des Actions au Règlement Mensuel 1977-1990, Finance, ( 1995), 16, pp. 113-136.

Poterba J.W. et Summers L.H., Mean Reversion in Stock Prices: Evidence and Implications, Journal of Financial Economics, (1988), 22, pp.27-59.

Roll R., A critique of the Asset Pricing Theory’s Tests: Part I : on Past and Potential Testability of the Theory, Journal of Financial Economics, (1977), pp.129-176.

Rosenberg B., Reid K. and Lanstein R., Persuasive evidence of market inefficiency, Journal of Portfolio Management, (1985), 11, pp. 9-17.

Schwert W.G., Stock Volatility and the Crash of 87, Review of Financial Studies, (1990), 3, 1, pp.77-102.

Simon A., Les performances des titres cotés sur le marché boursier français suite à l’annonce des résultats: sous et / ou sur-réaction ou phénomène hasardeux ?, Revue des Sciences de Gestion, (2003), 203, pp. 37-54.

Trabelsi M.A., Choix de portefeuille : Comparaison des différentes stratégies, Thèse de doctorat, FSEGT, Université d’El Manar, (2003).

Trabelsi M.A., Effet sur-réaction et stratégie de sélection de portefeuille sur le marché tunisien des actions, Euro-Mediterranean Economic and Finance Review, (2008), 3, 2, Second Quarter pp. 219-233.

Vermaelen T. and Vestringe., Do Belgians Overreact ?, Cahier de Recherche, Université Catholique de Louvain, Belgique (1986).

Viviani J-L., Gestion de portefeuille, Dunod, 2ème édition 2001.

Williams J.B., Theory of Investment Value, (1938).

Zarowin P., Does the Market Overreact to Corporate Earnings Information?, Journal of Finance, (1989), 44, pp. 1385-1399.

Zarowin P., Size, Seasonnality and Stock Market Overreaction, Journal of Financial and Quantitative Analysis, (1990), 25, 1, pp. 113-125.