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Overreaction and underreaction in the UK

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Table 1 ± Summary statistics

This table reports the companies in the VDPSOHLQILYH\HDUV¶LQWHUYDOVIURPJanuary 1986 (1986m1) to January 2016 (2016m1) and in June 2016 (2016m6) per Market Capitalization Size-Segment (MCSS).

2 http://business-school.exeter.ac.uk/research/centres/xfi/ Year 1 6 11 16 21 26 31 31 Date 1986m1 1991m1 1996m1 2001m1 2006m1 2011m1 2016m1 2016m6 Nº of stocks in sample 196 246 317 384 447 514 620 627 Nº large MCSS stocks 44 52 61 75 83 89 98 98 Nº medium MCSS stocks 99 123 152 181 236 297 394 401 Nº small MCSS stocks 53 71 104 128 128 128 128 128

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Imagem

Table 2: Market-adjusted ACAR of j-month/k-month relative strength portfolios
Table 3: Market-adjusted ACAR of 9-month/k-month relative strength portfolios
Table 4: FF3FM ACAR of j-month/k-month relative strength portfolios
Table 5: FF3FM ACAR of 9-month/k-month relative strength portfolios
+7

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