 WINNERS AND LOSERS ON NYSE: A RE‐EXAMINATION USING DAILY CLOSING BID‐ASK SPREADSAigbe Akhigbe, Thomas Gosnell and T. Harikumar Journal of Financial Research, 1998, vol. 21, issue 1, 53-64 Abstract: We study a sample of NYSE stocks that experienced a large one‐day price change during 1992 and were reported as daily largest percentage gainers and largest percentage losers in the Wall Street Journal. The sample indicates significant reversals during the immediate post‐announcement period. We test for market efficiency by using bid‐ask spreads obtained from the transactions data for the days immediately after the announcement. The overall results indicate that the returns during the reversal period are less than the average bid‐ask spread during the same time. We also find that major losers, firms with −20 percent to −50 percent event‐date abnormal returns, experience price reversals generating returns that are significantly greater than the average bid‐ask spread during that period. We interpret this result as consistent with the overreaction hypothesis. A test of a trading rule to exploit this overreaction is not profitable, providing support for weak‐form market efficiency. Date: 1998 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:jfnres:v:21:y:1998:i:1:p:53-64 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Financial Research is currently edited by Jayant Kale and Gerald Gay More articles in Journal of Financial Research from Southern Finance Association Contact information at EDIRC., Southwestern Finance Association Contact information at EDIRC. |
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