Short-term overreaction to specific events: Evidence from an emerging market

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Short-term overreaction to specific events : Evidence from an emerging market. / Boubaker, Sabri; Farag, Hisham; Nguyen, Duc Khuong.

In: Research in International Business and Finance, 25.10.2014.

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@article{4db87a39d23b47e2bd7f155506f562df,
title = "Short-term overreaction to specific events: Evidence from an emerging market",
abstract = "This paper investigates the short-term overreaction to specific events and whether stock prices are predictable in the Egyptian stock exchange (EGX). We find evidence of the short-term overreaction in the EGX. Losers (“bad news” portfolios) significantly outperform winners (“good news” portfolios) and investors can earn abnormal return by selling the winners and buying losers. Terrorist attacks have negative and significant abnormal returns for three days post event followed by price reversals on day four post event. Whereas, the tensions in the Middle East region have a negative and significant abnormal returns on event day followed by price reversals on day one post event. Moreover, the formation of a new government has no effect on the average abnormal returns post event in the EGX. The results also show that small firms tend to have greater price reversals compared to large firms. Overall, our results provide evidence of the leakage of information in the EGX.",
author = "Sabri Boubaker and Hisham Farag and Nguyen, {Duc Khuong}",
year = "2014",
month = oct,
day = "25",
doi = "10.1016/j.ribaf.2014.10.002",
language = "English",
journal = "Research in International Business and Finance",
issn = "0275-5319",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Short-term overreaction to specific events

T2 - Evidence from an emerging market

AU - Boubaker, Sabri

AU - Farag, Hisham

AU - Nguyen, Duc Khuong

PY - 2014/10/25

Y1 - 2014/10/25

N2 - This paper investigates the short-term overreaction to specific events and whether stock prices are predictable in the Egyptian stock exchange (EGX). We find evidence of the short-term overreaction in the EGX. Losers (“bad news” portfolios) significantly outperform winners (“good news” portfolios) and investors can earn abnormal return by selling the winners and buying losers. Terrorist attacks have negative and significant abnormal returns for three days post event followed by price reversals on day four post event. Whereas, the tensions in the Middle East region have a negative and significant abnormal returns on event day followed by price reversals on day one post event. Moreover, the formation of a new government has no effect on the average abnormal returns post event in the EGX. The results also show that small firms tend to have greater price reversals compared to large firms. Overall, our results provide evidence of the leakage of information in the EGX.

AB - This paper investigates the short-term overreaction to specific events and whether stock prices are predictable in the Egyptian stock exchange (EGX). We find evidence of the short-term overreaction in the EGX. Losers (“bad news” portfolios) significantly outperform winners (“good news” portfolios) and investors can earn abnormal return by selling the winners and buying losers. Terrorist attacks have negative and significant abnormal returns for three days post event followed by price reversals on day four post event. Whereas, the tensions in the Middle East region have a negative and significant abnormal returns on event day followed by price reversals on day one post event. Moreover, the formation of a new government has no effect on the average abnormal returns post event in the EGX. The results also show that small firms tend to have greater price reversals compared to large firms. Overall, our results provide evidence of the leakage of information in the EGX.

U2 - 10.1016/j.ribaf.2014.10.002

DO - 10.1016/j.ribaf.2014.10.002

M3 - Article

JO - Research in International Business and Finance

JF - Research in International Business and Finance

SN - 0275-5319

ER -