Short-term Overreaction in American Depository Receipts

Detalhes bibliográficos
Autor(a) principal: Júlio Lobão
Data de Publicação: 2020
Outros Autores: Maria Eva Jerke
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/10216/131202
Resumo: 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.
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spelling Short-term Overreaction in American Depository ReceiptsCiência financeira, Economia e gestãoFinancial science, Economics and BusinessIn 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.20202020-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10216/131202eng2501-196010.47743/saeb-2020-0023Júlio LobãoMaria Eva Jerkeinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-29T15:19:07Zoai:repositorio-aberto.up.pt:10216/131202Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:20:32.911562Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Short-term Overreaction in American Depository Receipts
title Short-term Overreaction in American Depository Receipts
spellingShingle Short-term Overreaction in American Depository Receipts
Júlio Lobão
Ciência financeira, Economia e gestão
Financial science, Economics and Business
title_short Short-term Overreaction in American Depository Receipts
title_full Short-term Overreaction in American Depository Receipts
title_fullStr Short-term Overreaction in American Depository Receipts
title_full_unstemmed Short-term Overreaction in American Depository Receipts
title_sort Short-term Overreaction in American Depository Receipts
author Júlio Lobão
author_facet Júlio Lobão
Maria Eva Jerke
author_role author
author2 Maria Eva Jerke
author2_role author
dc.contributor.author.fl_str_mv Júlio Lobão
Maria Eva Jerke
dc.subject.por.fl_str_mv Ciência financeira, Economia e gestão
Financial science, Economics and Business
topic Ciência financeira, Economia e gestão
Financial science, Economics and Business
description 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.
publishDate 2020
dc.date.none.fl_str_mv 2020
2020-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv https://hdl.handle.net/10216/131202
url https://hdl.handle.net/10216/131202
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2501-1960
10.47743/saeb-2020-0023
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eu_rights_str_mv openAccess
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dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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