Sobre-reacción e infra-reacción de los inversores en el mercado de capitales español

• Autores: Juan Antonio Rueda Torres, Manuel García-Ayuso Covarsí
• Localización: Revista española de financiación y contabilidad, ISSN 0210-2412, Nº 116, 2003, págs. 63-94
• Idioma: español
• DOI: 10.1080/02102412.2003.10779484
• Enlaces
  • Texto completo
• Dialnet Métricas: 1 Cita
• Referencias bibliográficas
  • ABARBANELL, J.V. BERNARD [1992]: «Test of analysts' overreaction/underreaction to earnings as an explanation for anomalous stock price...
  • ALONSO, A.G. RUBIO [1990]: «Overreaction in the Spanish stock market», Journal of Banking and Finance, vol. 14, pp. 469-481.
  • BALL, R. [1992]: «The earnings-price anomaly», Journal of Accounting and Economics, vol. 15, pp. 319-345.
  • BALL, R.S. KOTHARI [1989]: «Nonstationary expected returns: Implications for tests of market efficiency and serial correlation in returns»,...
  • BALL, R., S. KOTHARI y J. SHANKEN [1995]: «Problems in measuring portfolio performance: An application to contrarian investment strategies»,...
  • BALL, R., S. KOTHARI y R. WATTS [1993]: «Economics determinants of the relation between earnings changes and stock returns», Accounting Review,...
  • BANZ, R. W. [1981]: «The relationship between return and market value of common stocks», Journal of Financial Economics, vol. 9, pp. 3-18.
  • BERNARD, V.J. THOMAS [1989]: «Post-earnings announcement drift: Delayed price response or risk premium?», Journal of Accounting Research,...
  • - [1990]: «Evidence that prices do not fully reflect the implications of current earnings for future earnings», Journal of Accounting and...
  • BHARDWAJ, R.L. BROOKS [1992]: «The January anomaly: Effects of low share price, transaction costs and bid-ask bias», Journal of Finance, vol....
  • CAMPBELL, K.R. LIMMACK [1997]: «Long-term overreaction in the UK stock market and size adjustments», Applied Financial Economics, vol. 7,...
  • CHAN, K. [1988]: «On the contrarian investment strategy», Journal of Business, vol. 61, pp. 147-163.
  • CHAN, L., N. JEGADEESH y J. LAKONISHOK [1996]: «Momentum strategies», Journal of Finance, vol. 51, pp. 1681-1713.
  • CHEN, C.D. SAUER [1997]: «Is stock market overreaction persistent over time?», Journal of Business, Finance and Accounting, vol. 24, pp. 51-65.
  • CHOPRA N., J. LAKONISHOK y J. RITTER [1992]: «Measuring abnormal performance. Do stocks overreact?», Journal of Financial Economics, vol....
  • CONRAD, J.G. KAUL [1988]: «Time variation in expected stock returns», Journal of Business, vol. 61, pp. 409-425.
  • DE BONDT, R.W. THALER [1985]: «Does the stock market overreact?», Journal of Finance, vol. 40, pp. 793-805.
  • DE BONDT, R.W. THALER [1987]: «Further evidence on investor overreaction and stock market seasonality», Journal of Finance, vol. 42, pp. 557-581.
  • DISSANAIKE, G. [1997]: «Do stock market investors overreact?», Journal of Business, Finance and Accounting, vol. 24, pp. 27-49.
  • FAMA, E. [1970]: «Efficient capital markets: A review of the theory and empirical work», Journal of Finance, vol. 25, pp. 383-417.
  • - [1976]: Foundations of Finance, Basic Books Inc., Nueva York.
  • - [1998]: «Market efficiency, long-term returns, and behavioral finance», Journal of Financial Economics, vol. 49, pp. 283-306.
  • FAMA, E.K. FRENCH [1988]: «Permanent and temporary components of stock prices», Journal of Political Economy, vol. 96, pp. 246-273.
  • FORNER, C.J. MARHUENDA [2001]: «¿Existe en el mercado español un efecto sobrereacción?», Revista Española de Financiación y Contabilidad,...
  • FOSTER, G. [1977]: «Quarterly accounting data: Time series properties and predictive ability results», Accounting Review, vol. 52, pp. 1-21.
  • FREEMAN, R.T. TSE [1989]: «The multiperiod information content of accounting earnings: Confirmations and contradictions of previous earnings...
  • JEGADEESH, D. TITMAN [1993]: «Returns to buying winners and selling losers: Implications for stock market efficiency», Journal of Finance,...
  • KAHNEMAN, D.A. TVERSKY [1973]: «On the psychology of prediction», Psychological Review, vol. 80, pp. 237-251.
  • - [1982]: «Intuitive prediction: Biases and corrective procedures», en D. KAHNEMAN, P. SLOVIC y A. TVERSKY (ed.): Judgment under uncertainty:...
  • KEIM, D. [1989]: «Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning points»,...
  • KRUSKAL, W.W. WALLIS [1952]: «Use of ranks in one-criterion variance analysis», Journal of American Statistical Association, vol. 47, pp....
  • LAKONISHOK, J.S. SMIDT [1984]: «Volume and turn-of-the-year behavior», Journal of Financial Economics, vol. 13, pp. 435-455.
  • LINTNER, J. [1965]: «The valuation of risky assets and the selection of risky investments in stocks portfolios and capital budgets», Review...
  • Liu, W., STRONG y X. Xu [1999]: «The profitability of momentum investing», Journal of Business, Finance and Accounting, vol. 26, pp. 1043-1091.
  • LOUGHRAN, T.J. RITTER [1996]: «Long-term market overreaction: The effect of low-priced stocks», Journal of Finance, vol. 51, pp. 1959-1970.
  • MAI, H. (1995): «Sur-reaction sur le marché français des actions au Règlement Mensuel 1977-1990», Finance, vol. 16, pp. 113-136.
  • POTERBA, J.L. SUMMERS [1988]: «Mean reversion in stock prices: Evidence and implications», Journal of Financial Economics, vol. 22, pp. 27-59.
  • POWER, D., A. LONIE y R. LONIE [1991]: «The overreaction effect-some UK evidence», British Accounting Review, vol. 23, pp. 793-805.