Testing the overreaction hypothesis in the mexican stock market
The objective of this work is to test the overreaction hypothesis in the Mexican Stock Market for the period of 2002-2015, using monthly data and applying the Cumulative Average Residuals (CAR) methodology via the CAPM model and the three-factor model proposed by Fama and French. The CAR model is ap...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2020 |
| País: | México |
| Institución: | Universidad Nacional Autónoma de México |
| Repositorio: | Redalyc-UNAM |
| OAI Identifier: | oai:redalyc.org:39571709007 |
| Acceso en línea: | https://www.redalyc.org/articulo.oa?id=39571709007 https://www.redalyc.org/journal/395/39571709007/ https://www.redalyc.org/journal/395/39571709007/html/ https://www.redalyc.org/journal/395/39571709007/39571709007.epub https://www.redalyc.org/journal/395/39571709007/movil |
| Access Level: | acceso abierto |
| Palabra clave: | Administración y Contabilidad G15 G41 Overreaction Mexican stock market Cumulative average residuals |
| Sumario: | The objective of this work is to test the overreaction hypothesis in the Mexican Stock Market for the period of 2002-2015, using monthly data and applying the Cumulative Average Residuals (CAR) methodology via the CAPM model and the three-factor model proposed by Fama and French. The CAR model is applied to test how winner and loser portfolios perform during the period under analysis. Overall, the evidence shows that average CAR for the loser portfolio is 0.706%, whereas CAR for the winner portfolio is 0.364%, and that are statistically different; nevertheless, both portfolios are co-integrated. This research contributes to the financial literature identifying overreaction in the Mexican Stock Market during the period examined. |
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