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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"Stock Prices and Social Dynamics,"
Cowles Foundation Discussion Papers
719R, Cowles Foundation for Research in Economics, Yale University.
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