Market overreaction : understanding drivers of investor behaviour

In this paper, we seek to determine if large price drops and subsequent price reversals are a result of market sentiment, industry-type and type of news while validating conventional literature on market overreaction. Our study provides further evidence to earlier studies by Ajayi and Mehdian (1994)...

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Main Authors: Neo, Liat Beng, Koh, Liang Han, Ng, Jonathan Wen Jie
Other Authors: Suman Banerjee
Format: Final Year Project
Language:English
Published: 2013
Subjects:
Online Access:http://hdl.handle.net/10356/51530
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-515302023-05-19T07:23:11Z Market overreaction : understanding drivers of investor behaviour Neo, Liat Beng Koh, Liang Han Ng, Jonathan Wen Jie Suman Banerjee Nanyang Business School DRNTU::Business::Finance In this paper, we seek to determine if large price drops and subsequent price reversals are a result of market sentiment, industry-type and type of news while validating conventional literature on market overreaction. Our study provides further evidence to earlier studies by Ajayi and Mehdian (1994) and De Bondt and Thaler (1987) that markets do tend to overreact to negative news and we have found the aforementioned factors play a role in influencing investor behaviour, leading to market overreaction. Overall, these results provide strong support for the market overreaction hypothesis and shed light on new determinants that influence market overreaction. BUSINESS 2013-04-04T07:29:40Z 2013-04-04T07:29:40Z 2013 2013 Final Year Project (FYP) http://hdl.handle.net/10356/51530 en Nanyang Technological University 51 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance
spellingShingle DRNTU::Business::Finance
Neo, Liat Beng
Koh, Liang Han
Ng, Jonathan Wen Jie
Market overreaction : understanding drivers of investor behaviour
description In this paper, we seek to determine if large price drops and subsequent price reversals are a result of market sentiment, industry-type and type of news while validating conventional literature on market overreaction. Our study provides further evidence to earlier studies by Ajayi and Mehdian (1994) and De Bondt and Thaler (1987) that markets do tend to overreact to negative news and we have found the aforementioned factors play a role in influencing investor behaviour, leading to market overreaction. Overall, these results provide strong support for the market overreaction hypothesis and shed light on new determinants that influence market overreaction.
author2 Suman Banerjee
author_facet Suman Banerjee
Neo, Liat Beng
Koh, Liang Han
Ng, Jonathan Wen Jie
format Final Year Project
author Neo, Liat Beng
Koh, Liang Han
Ng, Jonathan Wen Jie
author_sort Neo, Liat Beng
title Market overreaction : understanding drivers of investor behaviour
title_short Market overreaction : understanding drivers of investor behaviour
title_full Market overreaction : understanding drivers of investor behaviour
title_fullStr Market overreaction : understanding drivers of investor behaviour
title_full_unstemmed Market overreaction : understanding drivers of investor behaviour
title_sort market overreaction : understanding drivers of investor behaviour
publishDate 2013
url http://hdl.handle.net/10356/51530
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