810                                                    23

 ,   .      ,   -
  ,  10%       
    .       20.

,    
   

 ,
      ( %)

                  
                        
                                         
 


. , 1962-1986 .

 50%  

50% , 

 NYSE                    -24,9             89,8              -114,7
. , 1929-1982 .

 10%  

10% , 

 NYSE                    -11,6             12,1               -23,7
. , 1962-1989 .

 10%  

10% , 

 NYSE                      8,7              -3,5                12,2
. , 1929-1982 .

 10%  

10% , 

 NYSE  *                   5,0              -6,1                11,1
.  , 1926-1982 .

 35%  

35% , 

 NYSE                           -1,7              6,5                -8,2
.  , 1926-1982 .

 50%  

50% , 

 NYSE                           -2,4              7,2                -9,6

*     ,     .

:

A. Bruce N. Lehmann, Fads, Martingales, and Market Efficiency, Quarterly Journal of Economics, 105, no. 1 (February

1990), p. 16.
. Narasimhan Jegadeesh, Evidence of Predictable Behavior of Security Returns, Journal of Finance, 45, no. 3 (July

1990), pp. 890-891.
. Narasimhan Jegadeesh and Sheridan Titman, Return to Buying Winners and Selling Losers: Implications for Stock

Market Efficiency, Journal of Finance, 48, no. 1 (March 1993), p. 79.
. Narasimhan Jegadeesh, Evidence of Predictable Behavior of Security Returns, Journal of Finance, 45, no. 3 (July

1990), pp. 890-891.
. Werner F.M. De Bondt and Richard Thaler, Does the Stock Market Overreact?, Journal of Finance, 40, no. 3

(July 1985), p. 799.
E. Werner F.M. De Bondt and Richard Thaler, Further Evidence on Investor Overreaction and Stock Market Seasonally,

Journal of Finance, 42, no. 3 (July 1987), p. 561.