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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Taylor & Francis Journals, vol. 37(15), pages 1719-1730.
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- Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
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