Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/106473 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 1444
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so-called 'inertia anomaly'. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter cannot be seen as inconsistent with the EMH.
Schlagwörter: 
efficient Market Hypothesis
anomaly
overreaction hypothesis
abnormal returns
contrarian strategy
trading strategy
trading robot
t-test
JEL: 
G12
G17
C63
Dokumentart: 
Working Paper

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