Authors: Nam K.1; Pyun C.S.; Arize A.C.
Source: Journal of Empirical Finance, Volume 9, Number 5, December 2002 , pp. 563-588(26)
Publisher: Elsevier
Keywords: Asymmetric GARCH model; Asymmetric mean reverting; Contrarian portfolio strategy; Stock market overreaction; [JEL classification codes] G14; [JEL classification codes] C40; [JEL classification codes] C51
Language: English
Document Type: Research article
DOI: 10.1016/S0927-5398(02)00011-7
Affiliations: 1: Department of Economics and Finance, College of Business Administration, University of Texas-Pan American, 78539-2999, Edinburg, TX, USA
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