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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- 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 255-67, March.
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- Adam Zawadowski & Gyorgy Andor & Janos Kertesz, 2006. "Short-term market reaction after extreme price changes of liquid stocks," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 283-295.
- Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
- Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
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