Modeling and measuring intraday overreaction of stock prices

► We model market prices' reaction to fundamental news with a news impact curve. ► Volatility ratios measure intraday overreaction through the extent of price reversals. ► Separation of intraday overreaction to good and to bad news is possible. ► Without overreaction, the ratios' distribution is bounded above by an F-distribution. ► Significant overreaction to bad news is prevalent for intraday stock price processes.