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- W204734128 abstract "This paper studies the short-term (21 trading days) behavior of Brazilian stocks in the event of extreme movements in the Brazilian market index. Using cumulative abnormal returns of contrarian and momentum strategies, we find that stocks tend to overreact after negative events while they exhibit normal reaction after positive shocks. This overreaction, however, is particularly intense when the broad market experience clustered extreme swings within the 21 days window, meaning that the short-term overreaction is correlated to market volatility. In these circumstances we find that the profit of the contrarian strategy is driven by the performance of the winner stocks despite a lower contemporaneous beta than the loser stocks." @default.
- W204734128 created "2016-06-24" @default.
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- W204734128 date "2015-01-01" @default.
- W204734128 modified "2023-09-27" @default.
- W204734128 title "How Do Stocks React to Extreme Market Events? Evidence from Brazil" @default.
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- W204734128 doi "https://doi.org/10.2139/ssrn.2567825" @default.
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