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

Trabelsi, Mohamed Ali (2008): Sur-réaction sur le marché tunisien des actions : une investigation empirique. Published in: La Revue des Sciences de Gestion No. 236 (March 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 > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; 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 > G19 - Other

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