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

被引：150

作者：

COX, DR

PETERSON, DR

机构：

[1] APPALACHIAN STATE UNIV, BOONE, NC 28608 USA

[2] FLORIDA STATE UNIV, TALLAHASSEE, FL 32306 USA

来源：

JOURNAL OF FINANCE | 1994年 / 49卷 / 01期

关键词：

D O I：

10.2307/2329143

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：255 / 267

页数：13

共 6 条

[1] PRICE REVERSALS, BID-ASK SPREADS, AND MARKET-EFFICIENCY [J].