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, 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
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