| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089618 | Journal of Banking & Finance | 2012 | 12 Pages |
Abstract
⺠We model market prices' reaction to fundamental news with a news impact curve. ⺠Volatility ratios measure intraday overreaction through the extent of price reversals. ⺠Separation of intraday overreaction to good and to bad news is possible. ⺠Without overreaction, the ratios' distribution is bounded above by an F-distribution. ⺠Significant overreaction to bad news is prevalent for intraday stock price processes.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Stefan KlöÃner, Martin Becker, Ralph Friedmann,