Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance
AbstractThe authors examine stock returns following large one-day price declines and find that the bid-ask bounce and the degree of market liquidity explain short-term price reversals. Further, they do not find evidence consistent with the overreaction hypothesis. The authors observe that securities with large one-day price declines perform poorly over an extended time horizon. Copyright 1994 by American Finance Association.
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 49 (1994)
Issue (Month): 1 (March)
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- Dailami, Mansoor & Hauswald, Robert, 2001. "Contract risks and credit spread determinants in the international project bond market," Policy Research Working Paper Series 2712, The World Bank.
- Kudryavtsev, Andrey, 2013. "Stock price reversals following end-of-the-day price moves," Economics Letters, Elsevier, vol. 118(1), pages 203-205.
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- KUDRYAVTSEV Andrey, 2012. "Early To Rise: When Opening Stock Returns Are Higher Than Daily Returns?," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(3), pages 58-73, December.
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- Foort, HAMELINK, 1998. "Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse," Les Cahiers de Recherche 655, HEC Paris.
- Savor, Pavel G., 2012. "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, vol. 106(3), pages 635-659.
- Andrey Kudryavtsev, 2013. "Think About Tomorrow Morning: Opening Stock Returns May Show Reversals," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 16(50), pages 51-64, December.
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