Investor overreaction during market declines: Evidence from the 1997 Asian financial crisis

Michayluk, D; Neuhauser, KL

Investor overreaction during market declines: Evidence from the 1997 Asian financial crisis

Michayluk, D

Neuhauser, KL

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Publication Type:: Journal Article
Citation:: Journal of Financial Research, 2006, 29 (2), pp. 217 - 234
Issue Date:: 2006-06-01

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Field	Value	Language
dc.contributor.author	Michayluk, D https://orcid.org/0000-0001-9020-0855	en_US
dc.contributor.author	Neuhauser, KL	en_US
dc.date.issued	2006-06-01	en_US
dc.identifier.citation	Journal of Financial Research, 2006, 29 (2), pp. 217 - 234	en_US
dc.identifier.issn	0270-2592	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5364
dc.description.abstract	Unlike the 1987 stock market crash, the 1997 stock market decline was clearly preceded by new information that affected fundamental values of U.S. firms. We provide a detailed description of U.S. stock returns surrounding the Asian financial crisis. Consistent with the overreaction hypothesis, we find strong evidence of a magnitude effect in short-term return reversals. Additionally, we find evidence of short-term return predictability in the aftermath. Our results are robust to controls for size, price, risk, and bid-ask bounce effects. Overall, the results are indicative of investor overreaction in times of market crisis.	en_US
dc.relation.ispartof	Journal of Financial Research	en_US
dc.relation.isbasedon	10.1111/j.1475-6803.2006.00175.x	en_US
dc.subject.classification	Finance	en_US
dc.title	Investor overreaction during market declines: Evidence from the 1997 Asian financial crisis	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	29	en_US
utslib.for	150201 Finance	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	29	en_US

Abstract:

Unlike the 1987 stock market crash, the 1997 stock market decline was clearly preceded by new information that affected fundamental values of U.S. firms. We provide a detailed description of U.S. stock returns surrounding the Asian financial crisis. Consistent with the overreaction hypothesis, we find strong evidence of a magnitude effect in short-term return reversals. Additionally, we find evidence of short-term return predictability in the aftermath. Our results are robust to controls for size, price, risk, and bid-ask bounce effects. Overall, the results are indicative of investor overreaction in times of market crisis.

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http://hdl.handle.net/10453/5364