کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
11009861 | 1820002 | 2019 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Price reversals and price continuations following large price movements
ترجمه فارسی عنوان
تغییر قیمتها و ادامه قیمت پس از حرکتهای بزرگ قیمت
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
چکیده انگلیسی
We concurrently examine price reversals and price continuations that follow extreme one-day price changes in the period 1986-2015. Consistent with the overreaction and underreaction hypotheses, we find that investors overreact to non-information-based price movements and underreact to public announcements containing firm-specific information. We also find that, consistent with the liquidity hypothesis, smaller firms and firms with lower institutional ownership are more likely to experience price reversals relative to price continuations. The magnitudes of reversals and continuations are also greater for smaller firms and firms with lower institutional ownership. Liquidity improvement following the post-decimalization period led to the reduction in the magnitudes of both, price reversals and continuations. These findings have implications for future debate about underlying reasons of observed price movements and the impact of decimalization on financial markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Business Research - Volume 95, February 2019, Pages 1-12
Journal: Journal of Business Research - Volume 95, February 2019, Pages 1-12
نویسندگان
Edward A. Dyl, H. Zafer Yuksel, Gulnara R. Zaynutdinova,