The Effect of Empirically-determined Beta, Firm Size and Seasonal Patterns on Overreaction Effect in Chinese Stock Market: Evidence from A shares and B shares
The overreaction effect has been a heated topic since it was brought up by De Bondt and Thaler (1985) and was explored internationally since then. This dissertation mainly checks the existence of overreaction effect and the impact from differential beta, differential size and seasonality on the over...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2017
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| Online Access: | https://eprints.nottingham.ac.uk/46163/ |
| _version_ | 1848797270152052736 |
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| author | YANG, Qian |
| author_facet | YANG, Qian |
| author_sort | YANG, Qian |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The overreaction effect has been a heated topic since it was brought up by De Bondt and Thaler (1985) and was explored internationally since then. This dissertation mainly checks the existence of overreaction effect and the impact from differential beta, differential size and seasonality on the overreaction effect result. The overreaction effect still exists after adjusting for beta and size in Chinese stock market. Although not so significant, based on the five-year ranking period, the contribution of February seems to be larger than the annual return difference after annualization. The beta, size and piror return model have more explanatory power for B shares than for A shares and the middle-sized firm of B shares market seems to contribute more to its overreaction result. |
| first_indexed | 2025-11-14T20:01:12Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-46163 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:01:12Z |
| publishDate | 2017 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-461632018-04-17T15:11:32Z https://eprints.nottingham.ac.uk/46163/ The Effect of Empirically-determined Beta, Firm Size and Seasonal Patterns on Overreaction Effect in Chinese Stock Market: Evidence from A shares and B shares YANG, Qian The overreaction effect has been a heated topic since it was brought up by De Bondt and Thaler (1985) and was explored internationally since then. This dissertation mainly checks the existence of overreaction effect and the impact from differential beta, differential size and seasonality on the overreaction effect result. The overreaction effect still exists after adjusting for beta and size in Chinese stock market. Although not so significant, based on the five-year ranking period, the contribution of February seems to be larger than the annual return difference after annualization. The beta, size and piror return model have more explanatory power for B shares than for A shares and the middle-sized firm of B shares market seems to contribute more to its overreaction result. 2017-09-14 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/46163/1/Final%20dissertation%20.pdf YANG, Qian (2017) The Effect of Empirically-determined Beta, Firm Size and Seasonal Patterns on Overreaction Effect in Chinese Stock Market: Evidence from A shares and B shares. [Dissertation (University of Nottingham only)] |
| spellingShingle | YANG, Qian The Effect of Empirically-determined Beta, Firm Size and Seasonal Patterns on Overreaction Effect in Chinese Stock Market: Evidence from A shares and B shares |
| title | The Effect of Empirically-determined Beta, Firm Size and
Seasonal Patterns on Overreaction Effect in Chinese Stock
Market: Evidence from A shares and B shares |
| title_full | The Effect of Empirically-determined Beta, Firm Size and
Seasonal Patterns on Overreaction Effect in Chinese Stock
Market: Evidence from A shares and B shares |
| title_fullStr | The Effect of Empirically-determined Beta, Firm Size and
Seasonal Patterns on Overreaction Effect in Chinese Stock
Market: Evidence from A shares and B shares |
| title_full_unstemmed | The Effect of Empirically-determined Beta, Firm Size and
Seasonal Patterns on Overreaction Effect in Chinese Stock
Market: Evidence from A shares and B shares |
| title_short | The Effect of Empirically-determined Beta, Firm Size and
Seasonal Patterns on Overreaction Effect in Chinese Stock
Market: Evidence from A shares and B shares |
| title_sort | effect of empirically-determined beta, firm size and
seasonal patterns on overreaction effect in chinese stock
market: evidence from a shares and b shares |
| url | https://eprints.nottingham.ac.uk/46163/ |