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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- Adam Zawadowski & Gyorgy Andor & Janos Kertesz, 2006. "Short-term market reaction after extreme price changes of liquid stocks," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(4), pages 283-295.
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- Mazouz, Khelifa & Wang, Jian, 2014. "Are commodity futures markets short-term efficient? An empirical investigation," 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France, Agricultural Economics Society 169763, Agricultural Economics Society.
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