Clements, Adam; Drew, Michael E.; Reedman, Evan M. - School of Economics and Finance, Business School - 2007
Are the returns accruing to De Bondt and Thaler’s (1985) (DT) much celebrated overreaction anomaly pervasive? Using the CRSP data set used by for the period 1926 through 1982, and, for the first time, an additional two decades of data (1983 through 2003), we provide preliminary support for the...