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.|
|Contact details of provider:|| Postal: New Jersey Hall - 75 Hamilton Street, New Brunswick, NJ 08901-1248|
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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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"A Model of Investor Sentiment,"
NBER Working Papers
5926, National Bureau of Economic Research, Inc.
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- Ferris, Stephen P & Haugen, Robert A & Makhija, Anil K, 1988. " Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect," Journal of Finance, American Finance Association, vol. 43(3), pages 677-97, July.
- 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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