Diferenças entre edições de "Sobre reacção"
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| − | ''' | + | '''Sobre reacção''' / '''Reacção exagerada''' (em inglês, overreaction), é a tendência que parece existir de os activos exagerarem os movimentos devidos a um padrão consistente de notícias positivas ou negativas. |
| − | Esta tendência parece em contradição com o | + | Esta tendência parece em contradição com o [[enviesamento conservador]], mas na prática está relacionado. O enviesamento conservador faz-se sentir no curto prazo, onde os papéis tendem a não descontar totalmente o efeito de novidades fundamentais. Isso leva a que se estabeleçam tendências no sentido dessas novidades fundamentais (surpresas negativas criam tendências negativas, surpresas positivas criam tendências positivas). O que acontece de seguida é que essas tendências acabam por ir longe demais, dando origem à reacção exagerada no longo prazo. As tendências positivas levam a uma subida exagerada pelo que são invertidas, as tendências negativas levam a uma descida exagerada pelo que também são invertidas. |
Resumindo, no curto prazo existe uma subreacção a novidades fundamentais, que leva a uma tendência no sentido destas, que leva a uma sobrereacção a novidades fundamentais. | Resumindo, no curto prazo existe uma subreacção a novidades fundamentais, que leva a uma tendência no sentido destas, que leva a uma sobrereacção a novidades fundamentais. | ||
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== Referências == | == Referências == | ||
| − | + | * ABARBANELL, Jeffry S. and Victor L. BERNARD, 1992. Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior | |
| − | * ABARBANELL, Jeffry S. and Victor L. BERNARD, 1992. Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior | + | * AIYAGARI, S. Rao and Mark GERTLER, 1999. ��Overreaction�� of Asset Prices in General Equilibrium |
| − | * AIYAGARI, S. Rao and Mark GERTLER, 1999. ��Overreaction�� of Asset Prices in General Equilibrium | + | * ANTONIOU, Antonios, Emilios C. GALARIOTIS, and Spyros I. SPYROU, 2001. Contrarian Profits and the Overreaction Hypothesis: The Case of the Athens Stock Exchange |
| − | * ANTONIOU, Antonios, Emilios C. GALARIOTIS, and Spyros I. SPYROU, 2001. Contrarian Profits and the Overreaction Hypothesis: The Case of the Athens Stock Exchange | + | * BARBERIS, Nicholas, Andrei SHLEIFER and Robert VISHNY, 1998. A Model of Investor Sentiment |
| − | * BARBERIS, Nicholas, Andrei SHLEIFER and Robert VISHNY, 1998. A Model of Investor Sentiment | + | * BARBERIS, Nicholas, Andrei SHLEIFER and Robert VISHNY, 1998. A model of investor sentiment |
| − | * BARBERIS, Nicholas, Andrei SHLEIFER and Robert VISHNY, 1998. A model of investor sentiment | + | * BAYTAS, Ahmet and Nusret CAKICI, 1999. Do markets overreact: International evidence |
| − | * BAYTAS, Ahmet and Nusret CAKICI, 1999. Do markets overreact: International evidence | + | * BERNSTEIN, Peter L., 1985. Does the Stock Market Overreact?: Discussion |
| − | * BERNSTEIN, Peter L., 1985. Does the Stock Market Overreact?: Discussion | + | * BOWMAN, Robert G. and David IVERSON, 1998. Short-run overreaction in the New Zealand stock market |
| − | * BOWMAN, Robert G. and David IVERSON, 1998. Short-run overreaction in the New Zealand stock market | + | * CAGINALP, Gunduz, David PORTER and Vernon SMITH, 2000. Momentum and overreaction in experimental asset markets |
| − | * CAGINALP, Gunduz, David PORTER and Vernon SMITH, 2000. Momentum and overreaction in experimental asset markets | + | * CONRAD, Jennifer and Gautam KAUL, 1993. Long-Term Market Overreaction or Biases in Computed Returns? |
| − | * CONRAD, Jennifer and Gautam KAUL, 1993. Long-Term Market Overreaction or Biases in Computed Returns? | + | * De BONDT, Werner F. M. and Richard H. THALER, 1987. Further Evidence on Investor Overreaction and Stock Market Seasonality |
| − | * De BONDT, Werner F. M. and Richard H. THALER, 1987. Further Evidence on Investor Overreaction and Stock Market Seasonality | + | * De BONDT, Werner F. M. and Richard H. THALER, 1990. Do Security Analysts Overreact? |
| − | * De BONDT, Werner F. M. and Richard H. THALER, 1990. Do Security Analysts Overreact? | + | * De BONDT, Werner F. M. and Richard THALER, 1985. Does the Stock Market Overreact? |
| − | * De BONDT, Werner F. M. and Richard THALER, 1985. Does the Stock Market Overreact? | + | * DIACOGIANNIS, G.P., et al., 2005. Price limits and overreaction in the Athens stock exchange. Applied Financial Economics. |
| − | * DIACOGIANNIS, G.P., et al., 2005. Price limits and overreaction in the Athens stock exchange. Applied Financial Economics. | + | * DREMAN, David N. and Eric A. LUFKIN, 2000. Investor overreaction: Evidence that its basis is psychological, The Journal of Psychology and Financial Markets, Vol. 1, No. 1, 61-75. |
| − | * DREMAN, David N. and Eric A. LUFKIN, 2000. Investor overreaction: Evidence that its basis is psychological, The Journal of Psychology and Financial Markets, Vol. 1, No. 1, 61-75. | + | * FAMA, Eugene F., 1998. Market efficiency, long-term returns, and behavioral finance |
| − | * FAMA, Eugene F., 1998. Market efficiency, long-term returns, and behavioral finance | + | * FULLER, Russell J., 2000. Behavioral Finance and the Sources of Alpha |
| − | * FULLER, Russell J., 2000. Behavioral Finance and the Sources of Alpha | + | * GAUNT, Clive, 2000. Overreaction in the Australian equity market: 1974-1997 |
| − | * GAUNT, Clive, 2000. Overreaction in the Australian equity market: 1974-1997 | + | * HAUGEN, R.A., 2004. The new finance: overreaction, complexity, and uniqueness. Upper Saddle River, NJ: Pearson/Prentice Hall. |
| − | * HAUGEN, R.A., 2004. The new finance: overreaction, complexity, and uniqueness. Upper Saddle River, NJ: Pearson/Prentice Hall. | + | * HONG, Harrison and Jeremy C. STEIN, 1997. A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets |
| − | * HONG, Harrison and Jeremy C. STEIN, 1997. A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets | + | * HONG, Harrison and Jeremy C. STEIN, 1999. A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets |
| − | * HONG, Harrison and Jeremy C. STEIN, 1999. A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets | + | * JEGADEESH, Narasimhan and Sheridan TITMAN, 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency |
| − | * JEGADEESH, Narasimhan and Sheridan TITMAN, 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency | + | * JEGADEESH, Narasimhan and Sheridan TITMAN, 1995. Overreaction, Delayed Reaction, and Contrarian Profits |
| − | * JEGADEESH, Narasimhan and Sheridan TITMAN, 1995. Overreaction, Delayed Reaction, and Contrarian Profits | + | * JOHNSSON, Malena, Henrik LINDBLOM and Peter PLATAN, 2002. Behavioral Finance - And the Change of Investor Behavior during and After the Speculative Bubble At the End of the 1990s |
| − | * JOHNSSON, Malena, Henrik LINDBLOM and Peter PLATAN, 2002. Behavioral Finance - And the Change of Investor Behavior during and After the Speculative Bubble At the End of the 1990s | + | * LARSON, Stephen J. and Jeff MADURA, 2001. Overreaction and underreaction in the foreign exchange market, Global Finance Journal 12 (2001) 153�177 |
| − | * LARSON, Stephen J. and Jeff MADURA, 2001. Overreaction and underreaction in the foreign exchange market, Global Finance Journal 12 (2001) 153�177 | + | * LEHMANN, Bruce N., 1993. Fads, Martingales, and Market Efficiency |
| − | * LEHMANN, Bruce N., 1993. Fads, Martingales, and Market Efficiency | + | * LO, Andrew W. and A. Craig MacKINLAY, 1990. When are Contrarian Profits Due to Stock Market Overreaction? |
| − | LO, Andrew W. and A. Craig MacKINLAY, 1990. When are Contrarian Profits Due to Stock Market Overreaction? | + | * LOUGHRAN, Tim and Jay R. RITTER, 1996. Long-Term Market Overreaction: The Effect of Low-Priced Stocks, Journal of Finance, Volume 51, Issue 5 (Dec., 1996), 1959-1970. |
| − | * LOUGHRAN, Tim and Jay R. RITTER, 1996. Long-Term Market Overreaction: The Effect of Low-Priced Stocks, Journal of Finance, Volume 51, Issue 5 (Dec., 1996), 1959-1970. | + | * MASSEY, C. and G. WU, 2005. Detecting regime shifts: The psychology of under-and overreaction. Management Science. |
| − | * MASSEY, C. and G. WU, 2005. Detecting regime shifts: The psychology of under-and overreaction. Management Science. | + | * MICHAELY, Roni, Richard H. THALER and Kent L. WOMACK, 1995. Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? |
| − | * MICHAELY, Roni, Richard H. THALER and Kent L. WOMACK, 1995. Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? | + | * MUN, Johnathan C., Geraldo M. VASCONCELLOS and Richard KISH, 2000. The Contrarian/Overreaction Hypothesis An analysis of the US and Canadian stock markets |
| − | * MUN, Johnathan C., Geraldo M. VASCONCELLOS and Richard KISH, 2000. The Contrarian/Overreaction Hypothesis An analysis of the US and Canadian stock markets | + | * NAM, Kiseok, Chong Soo PYUN and Stephen L. AVARD, 2001. Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction |
| − | * NAM, Kiseok, Chong Soo PYUN and Stephen L. AVARD, 2001. Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction | + | * OFFERMAN and SONNEMANS, 2000. What's Causing Overreaction? An Experimental Investigation of Recency and the Hot Hand Effect |
| − | * OFFERMAN and SONNEMANS, 2000. What's Causing Overreaction? An Experimental Investigation of Recency and the Hot Hand Effect | + | * POTESHMAN, 2000. Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market |
| − | * POTESHMAN, 2000. Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market | + | * POWER, D. M. and A. A. LONIE, 1993. The Overreaction Effect: Anomaly of the 1980s? |
| − | * POWER, D. M. and A. A. LONIE, 1993. The Overreaction Effect: Anomaly of the 1980s? | + | |
* RATNER and LEAL, 1998. Evidence of Short-Term Price Reversals Following Large One Day Movements in the Emerging Markets of Latin America and Asia | * RATNER and LEAL, 1998. Evidence of Short-Term Price Reversals Following Large One Day Movements in the Emerging Markets of Latin America and Asia | ||
* SEYHUN, 1990. Overreaction or Fundamentals: Some Lessons from Insiders' Response to the Market Crash of 1987 | * SEYHUN, 1990. Overreaction or Fundamentals: Some Lessons from Insiders' Response to the Market Crash of 1987 | ||
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* SKERRATT, 2000. Do analysts overreact to information? | * SKERRATT, 2000. Do analysts overreact to information? | ||
* THEOBALD, Michael and Peter YALLUP, Determining security speed of adjustment coefficients | * THEOBALD, Michael and Peter YALLUP, Determining security speed of adjustment coefficients | ||
| − | * VERONESI 1999. Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model | + | * VERONESI 1999. Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model |
| − | * WANG, J., et al., 2004. Analysis of the overreaction effect in the Chinese stock market. Applied Economics Letters. | + | * WANG, J., et al., 2004. Analysis of the overreaction effect in the Chinese stock market. Applied Economics Letters. |
| − | * XIANG, HE and CAO, 2002. Continuous overreaction, insiders trading activities and momentum strategies | + | * XIANG, HE and CAO, 2002. Continuous overreaction, insiders trading activities and momentum strategies |
* ZAROWIN, Paul, 1990 Size, Seasonality, and Stock Market Overreaction, The Journal of Financial and Quantitative Analysis, Vol. 25, No. 1. (Mar., 1990), pp. 113-125. | * ZAROWIN, Paul, 1990 Size, Seasonality, and Stock Market Overreaction, The Journal of Financial and Quantitative Analysis, Vol. 25, No. 1. (Mar., 1990), pp. 113-125. | ||
| − | [[Categoria: | + | |
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| + | [[Categoria:Finança comportamental]][[Categoria:Teorias]] | ||
Edição atual desde as 07h04min de 5 de outubro de 2008
Sobre reacção / Reacção exagerada (em inglês, overreaction), é a tendência que parece existir de os activos exagerarem os movimentos devidos a um padrão consistente de notícias positivas ou negativas.
Esta tendência parece em contradição com o enviesamento conservador, mas na prática está relacionado. O enviesamento conservador faz-se sentir no curto prazo, onde os papéis tendem a não descontar totalmente o efeito de novidades fundamentais. Isso leva a que se estabeleçam tendências no sentido dessas novidades fundamentais (surpresas negativas criam tendências negativas, surpresas positivas criam tendências positivas). O que acontece de seguida é que essas tendências acabam por ir longe demais, dando origem à reacção exagerada no longo prazo. As tendências positivas levam a uma subida exagerada pelo que são invertidas, as tendências negativas levam a uma descida exagerada pelo que também são invertidas.
Resumindo, no curto prazo existe uma subreacção a novidades fundamentais, que leva a uma tendência no sentido destas, que leva a uma sobrereacção a novidades fundamentais.
Referências
- ABARBANELL, Jeffry S. and Victor L. BERNARD, 1992. Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior
- AIYAGARI, S. Rao and Mark GERTLER, 1999. ��Overreaction�� of Asset Prices in General Equilibrium
- ANTONIOU, Antonios, Emilios C. GALARIOTIS, and Spyros I. SPYROU, 2001. Contrarian Profits and the Overreaction Hypothesis: The Case of the Athens Stock Exchange
- BARBERIS, Nicholas, Andrei SHLEIFER and Robert VISHNY, 1998. A Model of Investor Sentiment
- BARBERIS, Nicholas, Andrei SHLEIFER and Robert VISHNY, 1998. A model of investor sentiment
- BAYTAS, Ahmet and Nusret CAKICI, 1999. Do markets overreact: International evidence
- BERNSTEIN, Peter L., 1985. Does the Stock Market Overreact?: Discussion
- BOWMAN, Robert G. and David IVERSON, 1998. Short-run overreaction in the New Zealand stock market
- CAGINALP, Gunduz, David PORTER and Vernon SMITH, 2000. Momentum and overreaction in experimental asset markets
- CONRAD, Jennifer and Gautam KAUL, 1993. Long-Term Market Overreaction or Biases in Computed Returns?
- De BONDT, Werner F. M. and Richard H. THALER, 1987. Further Evidence on Investor Overreaction and Stock Market Seasonality
- De BONDT, Werner F. M. and Richard H. THALER, 1990. Do Security Analysts Overreact?
- De BONDT, Werner F. M. and Richard THALER, 1985. Does the Stock Market Overreact?
- DIACOGIANNIS, G.P., et al., 2005. Price limits and overreaction in the Athens stock exchange. Applied Financial Economics.
- DREMAN, David N. and Eric A. LUFKIN, 2000. Investor overreaction: Evidence that its basis is psychological, The Journal of Psychology and Financial Markets, Vol. 1, No. 1, 61-75.
- FAMA, Eugene F., 1998. Market efficiency, long-term returns, and behavioral finance
- FULLER, Russell J., 2000. Behavioral Finance and the Sources of Alpha
- GAUNT, Clive, 2000. Overreaction in the Australian equity market: 1974-1997
- HAUGEN, R.A., 2004. The new finance: overreaction, complexity, and uniqueness. Upper Saddle River, NJ: Pearson/Prentice Hall.
- HONG, Harrison and Jeremy C. STEIN, 1997. A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
- HONG, Harrison and Jeremy C. STEIN, 1999. A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
- JEGADEESH, Narasimhan and Sheridan TITMAN, 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
- JEGADEESH, Narasimhan and Sheridan TITMAN, 1995. Overreaction, Delayed Reaction, and Contrarian Profits
- JOHNSSON, Malena, Henrik LINDBLOM and Peter PLATAN, 2002. Behavioral Finance - And the Change of Investor Behavior during and After the Speculative Bubble At the End of the 1990s
- LARSON, Stephen J. and Jeff MADURA, 2001. Overreaction and underreaction in the foreign exchange market, Global Finance Journal 12 (2001) 153�177
- LEHMANN, Bruce N., 1993. Fads, Martingales, and Market Efficiency
- LO, Andrew W. and A. Craig MacKINLAY, 1990. When are Contrarian Profits Due to Stock Market Overreaction?
- LOUGHRAN, Tim and Jay R. RITTER, 1996. Long-Term Market Overreaction: The Effect of Low-Priced Stocks, Journal of Finance, Volume 51, Issue 5 (Dec., 1996), 1959-1970.
- MASSEY, C. and G. WU, 2005. Detecting regime shifts: The psychology of under-and overreaction. Management Science.
- MICHAELY, Roni, Richard H. THALER and Kent L. WOMACK, 1995. Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?
- MUN, Johnathan C., Geraldo M. VASCONCELLOS and Richard KISH, 2000. The Contrarian/Overreaction Hypothesis An analysis of the US and Canadian stock markets
- NAM, Kiseok, Chong Soo PYUN and Stephen L. AVARD, 2001. Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction
- OFFERMAN and SONNEMANS, 2000. What's Causing Overreaction? An Experimental Investigation of Recency and the Hot Hand Effect
- POTESHMAN, 2000. Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market
- POWER, D. M. and A. A. LONIE, 1993. The Overreaction Effect: Anomaly of the 1980s?
- RATNER and LEAL, 1998. Evidence of Short-Term Price Reversals Following Large One Day Movements in the Emerging Markets of Latin America and Asia
- SEYHUN, 1990. Overreaction or Fundamentals: Some Lessons from Insiders' Response to the Market Crash of 1987
- SHEFRIN, Hersh, 2000. Beyond Greed and Fear : Understanding Behavioral Finance and the Psychology of Investing.
- SKERRATT, 2000. Behavioural explanations for under and overreaction
- SKERRATT, 2000. Are analysts responsible for post earnings announcement drift and other anomalies that suggest that the market generally adjusts inadequately to new information?
- SKERRATT, 2000. Do analysts overreact to information?
- THEOBALD, Michael and Peter YALLUP, Determining security speed of adjustment coefficients
- VERONESI 1999. Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model
- WANG, J., et al., 2004. Analysis of the overreaction effect in the Chinese stock market. Applied Economics Letters.
- XIANG, HE and CAO, 2002. Continuous overreaction, insiders trading activities and momentum strategies
- ZAROWIN, Paul, 1990 Size, Seasonality, and Stock Market Overreaction, The Journal of Financial and Quantitative Analysis, Vol. 25, No. 1. (Mar., 1990), pp. 113-125.
