Efekt regresji do średniej jako przykład nadreaktywności GPW w Warszawie w latach 2000-2016
The effect of regression to the average as an example of market overreaction on the Warsaw Stock Exchange in the period of 2000-2016

Summary/Abstract: Purpose – the article presents the regression effect to the average. The purpose of the test was to accept or reject the hypothesis of the occurrence of price volatility on the basis of the loser-winner effect. Methodology/approach – the study used the De Bondta and Thaler test to create winning and losing portfolios. The occurrence of the overreaction phenomenon was analyzed from 1 month to 24 months after the formation of the portfolio. Findings – research has shown a phenomenon of overreaction in the case of a portfolio formed over a 5-year period. In the case of 2 and 3 year periods, no regression to the mean was found and the results were not statistically significant. Originality/value – previous studies of the regression to the average did not provide clear results confirming or rejecting its occurrence on the Warsaw Stock Exchange. The article shows the results of their research based on the latest rates of return.

• Details
• Contents