Stock price reversals following end-of-the-day price moves
In the present study, I explore the dynamics of the interday stock price reversals. Employing the intraday price data on thirty stocks currently making up the Dow Jones Industrial Index, I document that daily stock returns tend to be higher following the days with relatively large high-to-close price differences (price decreases at the end of the day), and lower following the days with relatively large low-to-close price differences (price increases at the end of the day). Based on this finding, I construct five daily-adjusted portfolios yielding significantly positive returns.
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- Robert J. Shiller, 1984.
"Stock Prices and Social Dynamics,"
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- Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
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- Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
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- Bruce N. Lehmann, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, Oxford University Press, vol. 105(1), pages 1-28.
- Grant, James L. & Wolf, Avner & Yu, Susana, 2005. "Intraday price reversals in the US stock index futures market: A 15-year study," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1311-1327, May.
- Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 807-824, April. Full references (including those not matched with items on IDEAS)
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