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...

ver descrição completa

Detalhes bibliográficos
Autores: Jaime González Maiz Jiménez, Edgar Ortiz Calisto
Formato: artículo
Estado:Versión publicada
Fecha de publicación:2020
País:México
Recursos:Universidad Nacional Autónoma de México
Repositorio:Redalyc-UNAM
OAI Identifier:oai:redalyc.org:39571709007
Acesso em linha: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
Palavra-chave:Administración y Contabilidad
G15
G41
Overreaction
Mexican stock market
Cumulative average residuals
id MX_3d7eaf8e5ab606ae06d06adfaedd47c0
oai_identifier_str oai:redalyc.org:39571709007
network_acronym_str MX
network_name_str México
repository_id_str
spelling Testing the overreaction hypothesis in the mexican stock marketJaime González Maiz JiménezEdgar Ortiz CalistoAdministración y ContabilidadG15G41OverreactionMexican stock marketCumulative average residualsThe 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.Universidad Nacional Autónoma de México2020info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdf0186-1042https://www.redalyc.org/articulo.oa?id=39571709007https://www.redalyc.org/journal/395/39571709007/https://www.redalyc.org/journal/395/39571709007/html/https://www.redalyc.org/journal/395/39571709007/39571709007.epubhttps://www.redalyc.org/journal/395/39571709007/movil10.22201/fca.24488410e.2019.1794Contaduría y Administración (México) Num.1 Vol.65reponame:Redalyc-UNAMinstname:Universidad Nacional Autónoma de Méxicoinstacron:UNAMenhttp://www.redalyc.org/revista.oa?id=395Contaduría y Administracióninfo:eu-repo/semantics/openAccessoai:redalyc.org:395717090072025-09-03T18:04:15Z
dc.title.none.fl_str_mv Testing the overreaction hypothesis in the mexican stock market
title Testing the overreaction hypothesis in the mexican stock market
spellingShingle Testing the overreaction hypothesis in the mexican stock market
Jaime González Maiz Jiménez
Administración y Contabilidad
G15
G41
Overreaction
Mexican stock market
Cumulative average residuals
title_short Testing the overreaction hypothesis in the mexican stock market
title_full Testing the overreaction hypothesis in the mexican stock market
title_fullStr Testing the overreaction hypothesis in the mexican stock market
title_full_unstemmed Testing the overreaction hypothesis in the mexican stock market
title_sort Testing the overreaction hypothesis in the mexican stock market
dc.creator.none.fl_str_mv Jaime González Maiz Jiménez
Edgar Ortiz Calisto
author Jaime González Maiz Jiménez
author_facet Jaime González Maiz Jiménez
Edgar Ortiz Calisto
author_role author
author2 Edgar Ortiz Calisto
author2_role author
dc.subject.none.fl_str_mv Administración y Contabilidad
G15
G41
Overreaction
Mexican stock market
Cumulative average residuals
topic Administración y Contabilidad
G15
G41
Overreaction
Mexican stock market
Cumulative average residuals
description 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.
publishDate 2020
dc.date.none.fl_str_mv 2020
dc.type.none.fl_str_mv info:eu-repo/semantics/publishedVersion
info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv 0186-1042
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
10.22201/fca.24488410e.2019.1794
identifier_str_mv 0186-1042
10.22201/fca.24488410e.2019.1794
url 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
dc.language.none.fl_str_mv en
language_invalid_str_mv en
dc.relation.none.fl_str_mv http://www.redalyc.org/revista.oa?id=395
dc.rights.none.fl_str_mv Contaduría y Administración
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Contaduría y Administración
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidad Nacional Autónoma de México
publisher.none.fl_str_mv Universidad Nacional Autónoma de México
dc.source.none.fl_str_mv Contaduría y Administración (México) Num.1 Vol.65
reponame:Redalyc-UNAM
instname:Universidad Nacional Autónoma de México
instacron:UNAM
instname_str Universidad Nacional Autónoma de México
instacron_str UNAM
institution UNAM
reponame_str Redalyc-UNAM
collection Redalyc-UNAM
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1858174993739808768
score 15.198674

Registos relacionados