Highs and Lows: A Behavioral and Technical Analysis
AbstractWe 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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Bibliographic InfoPaper provided by Rutgers University, Department of Economics in its series Departmental Working Papers with number 200610.
Length: 20 pages
Date of creation: 21 Aug 2006
Date of revision:
Publication status: Published in Applied Financial Economics 19, 2009, 767-77.
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More information through EDIRC
behavioral finance; technical analysis; turnover; n-day high/low; abnormal returns;
Other versions of this item:
- Bruce Mizrach & Susan Weerts, 2009. "Highs and lows: a behavioural and technical analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 19(10), pages 767-777.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G20 - Financial Economics - - Financial Institutions and Services - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-09-16 (All new papers)
- NEP-FIN-2006-09-16 (Finance)
- NEP-FMK-2006-09-16 (Financial Markets)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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NBER Working Papers
5926, National Bureau of Economic Research, Inc.
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Hannover Economic Papers (HEP)
dp-314, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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