Highs and Lows: A Behavioral and Technical Analysis
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.
|Date of creation:||21 Aug 2006|
|Date of revision:|
|Publication status:||Published in Applied Financial Economics 19, 2009, 767-77.|
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- Menkhoff, Lukas & Schmidt, Ulrich, 2005.
"The Use of Trading Strategies by Fund Managers: Some First Survey Evidence,"
Hannover Economic Papers (HEP)
dp-314, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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- repec:oup:qjecon:v:118:y:2003:i:1:p:73-105 is not listed on IDEAS
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