Short-term Overreaction in American Depository Receipts

• Tipo: Artigo em Revista Científica Internacional
• Data: 2020

Autores

Júlio Lobão (Autor) FEP; Maria Eva Jerke (Autor) FEP

Revista

Título: Scientific Annals of Economics and Business

Vol. 67 Nº 4

Páginas: 423-435

ISSN: 2501-1960

Editora: Alexandru Ioan Cuza University of Iasi

Indexação

ISI Web of Knowledge - 0 Citações

Scopus - 0 Citações

DOAJ

Econlit

EBSCO

Classificação Científica

CORDIS: Ciências Sociais > Economia > Ciência financeira

FOS: Ciências sociais > Economia e gestão

Outras Informações

ID Authenticus: P-00T-BGS

DOI: 10.47743/saeb-2020-0023

Abstract (EN): In this paper we examine for the first time the short-term predictability of American Depository Receipts (ADRs) in reaction to extreme price movements. Based on an analysis of 2,911 extreme price movements that took place within either normal trading hours or after-hours in the period 2001-2019, we conclude that those extreme returns were on average followed by significant reversals. This response represents an overreaction in prices, which challenges the weak version of the efficient market hypothesis. Price reversals are especially pronounced following extreme returns observed during after-hours, which lends support to the assertion that ADR markets are particularly inefficient during this trading period. These findings carry important implications for both market practitioners and regulators.

Idioma: Inglês

Tipo (Avaliação Docente): Científica