Short-term overreaction in a stock exchange

In this paper, we examine the phenomenon of Short-term overreaction and the existence of price limits on the Tehran Stock Exchange (TSE) which is based on a sample of listed stocks on the TSE for the period 2003-2008. An event study methodology is used in which the event is defined as an increase or decrease in the stock price that activates the price limit for one, two or three days. The findings confirm the occurrence of short-term overreactions on the TSE during the period under investigation, and that the price reversals cannot be attributed to the size effect.