STOCK RETURNS FOLLOWING LARGE ONE-DAY DECLINES - EVIDENCE ON SHORT-TERM REVERSALS AND LONGER-TERM PERFORMANCE

• 成果类型: Article
• 署名作者: COX, DR; PETERSON, DR
• 署名单位: University of North Carolina; Appalachian State University; State University System of Florida; Florida State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329143
• 发表日期: 1994
• 页码: 255-267
• 关键词: MARKET-EFFICIENCY

摘要

We examine stock returns following large one-day price declines and find that the bid-ask bounce and the degree of market liquidity explain short-term price reversals. Further, we do not find evidence consistent with the overreaction hypothesis. We observe that securities with large one-day price declines perform poorly over an extended time horizon.