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|
|Publication status:||Published in Applied Financial Economics 19, 2009, 767-77.|
|Contact details of provider:|| Postal: New Jersey Hall - 75 Hamilton Street, New Brunswick, NJ 08901-1248|
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Web page: http://economics.rutgers.edu/
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References listed on IDEAS
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- Chip Heath & Steven Huddart & Mark Lang, 1999. "Psychological Factors and Stock Option Exercise," The Quarterly Journal of Economics, Oxford University Press, vol. 114(2), pages 601-627.
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- repec:hrv:faseco:30747159 is not listed on IDEAS
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- Lukas Menkhoff & Ulrich Schmidt, 2005.
"The use of trading strategies by fund managers: some first survey evidence,"
Taylor & Francis Journals, vol. 37(15), pages 1719-1730.
- 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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