SSRN-Do U.S. Stock Market Indexes Over- Or Under-React? by Oliver Schnusenberg, Jeff Madura

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Do U.S. Stock Market Indexes Over- Or Under-React?

OLIVER SCHNUSENBERG
University of North Florida - Department of Accounting and Finance
JEFF MADURA
Florida Atlantic University - College of Business

The Journal of Financial Research

Abstract:
Our objective is to investigate the short-term over- or underreaction of six U.S. stock market indexes. We find evidence of a one-day underreaction for winners (days on which an index experiences abnormally high returns) and losers (days on which an index experiences abnormally poor performance). We also find strong evidence of a sixty-day underreaction for winners. For losers, abnormal returns turn from negative to positive as the period is extended, resulting in significant reversals over the sixty-day period. Results are generally consistent for each of the six indexes. Overall, these results provide strong support for the Uncertain Information Hypothesis.

JEL Classifications: G14

Accepted Paper Series

Contact Information for OLIVER SCHNUSENBERG (Contact Author) Email address for OLIVER SCHNUSENBERG University of North Florida - Department of Accounting and Finance College of Business Administration 4567 St. Johns Bluff Road, South Jacksonville , FL 32224-2675 United States
Contact Information for JEFF MADURA Email address for JEFF MADURA Florida Atlantic University - College of Business University Tower 220 SE 2 Avenue Fort Lauderdale , FL 33301 United States (954)762-5632 (Phone) (954)762-5245 (Fax)

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