Sélection de portefeuille via la stratégie de sur-réaction

Trabelsi, Mohamed Ali (2010): Sélection de portefeuille via la stratégie de sur-réaction. Published in: Revue Sciences de Gestion No. 73 (2010): pp. 57-71.

Abstract

The inefficiency of the stock markets is often bound to the stake in evidence of anomalies noticed in the behavior of returns by several authors. These anomalies are revealing of inefficiency if their knowledge permits to make a profit ex-ante of strategies based on them. De Bondt and 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. This article aims at presenting the overreaction strategy adopted by most managers in Tunisia and to put in evidence a new strategy which turned out to be the best one.

• Item Type: MPRA Paper
• English Title: Portfolio selection via the overreaction strategy
• Language: French
• Keywords: Assets pricing anomalies, portfolio selection, efficiency, performance, momentum strategies, overreaction
• 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

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