The main objective of this article is to examine the long-term overreaction for all listed shares in the Egyptian Stock Exchange. I find evidence of long-term overreaction which is not due to size effect. Therefore, a contrarian strategy by buying losers and selling winners is likely to be profitable. The findings also suggest that the overreaction phenomenon in the Egyptian stock market is not sensitive to the length of the formation period. Interestingly, I find a link between the regulatory policies and long-term overreaction as I find no evidence of investor overreaction within the strict price limit regime. On the other hand, the overreaction phenomenon is clear during the circuit-breaker regime. The findings also show that the overreaction phenomenon in the Egyptian Stock Exchange cannot be attributed to the seasonality effect.
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