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Highs and Lows: A Behavioral and Technical Analysis

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Author Info
Bruce Mizrach () (Rutgers University)
Susan Weerts () (Rutgers University)

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Abstract

We find that turnover rises on n-day highs and lows and is an increasing function of n. We offer several explanations from the technical and behavioral finance literature for why traders might use these signals. Turnover is persistent following these events, and new lows provide abnormal returns for up to 6 trading days.

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Publisher Info
Paper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 200610.

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Length: 20 pages
Date of creation: 21 Aug 2006
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Handle: RePEc:rut:rutres:200610

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Related research
Keywords: behavioral finance; technical analysis; turnover; n-day high/low; abnormal returns;

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Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G20 - Financial Economics - - Financial Institutions and Services - - - General

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  1. Lukas Menkhoff & Ulrich Schmidt, 2005. "The use of trading strategies by fund managers: some first survey evidence," Applied Economics, Taylor and Francis Journals, vol. 37(15), pages 1719-1730, August. [Downloadable!] (restricted)
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  2. Dan Ariely & George Loewenstein & Drazen Prelec, 2003. ""Coherent Arbitrariness": Stable Demand Curves Without Stable Preferences," The Quarterly Journal of Economics, MIT Press, vol. 118(1), pages 73-105, February. [Downloadable!] (restricted)
  3. Ferris, Stephen P & Haugen, Robert A & Makhija, Anil K, 1988. " Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect," Journal of Finance, American Finance Association, vol. 43(3), pages 677-97, July. [Downloadable!] (restricted)
  4. Meir Statman & Steven Thorley & Keith Vorkink, 2006. "Investor Overconfidence and Trading Volume," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 19(4), pages 1531-1565. [Downloadable!] (restricted)
  5. Chip Heath & Steven Huddart & Mark Lang, 1999. "Psychological Factors And Stock Option Exercise," The Quarterly Journal of Economics, MIT Press, vol. 114(2), pages 601-627, May. [Downloadable!] (restricted)
  6. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment1," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September. [Downloadable!] (restricted)
    Other versions:
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