Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance

Don R Cox and David R Peterson

Journal of Finance, 1994, vol. 49, issue 1, pages 255-67

Abstract: The authors 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, they do not find evidence consistent with the overreaction hypothesis. The authors observe that securities with large one-day price declines perform poorly over an extended time horizon. Copyright 1994 by American Finance Association.

Date: 1994
References: Add references at CitEc
Citations View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819940 ... O%3B2-A&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:jfinan:v:49:y:1994:i:1:p:255-67

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association
Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().