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Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance

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  • Cox, Don R
  • Peterson, David R

Abstract

The 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.

Suggested Citation

  • Cox, Don R & Peterson, David R, 1994. "Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance," Journal of Finance, American Finance Association, vol. 49(1), pages 255-267, March.
    • Handle: RePEc:bla:jfinan:v:49:y:1994:i:1:p:255-67
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