Stock price reversals following end-of-the-day price moves

Andrey Kudryavtsev

Economics Letters, 2013, vol. 118, issue 1, 203-205

Abstract: In the present study, I explore the dynamics of the interday stock price reversals. Employing the intraday price data on thirty stocks currently making up the Dow Jones Industrial Index, I document that daily stock returns tend to be higher following the days with relatively large high-to-close price differences (price decreases at the end of the day), and lower following the days with relatively large low-to-close price differences (price increases at the end of the day). Based on this finding, I construct five daily-adjusted portfolios yielding significantly positive returns.

Keywords: Intraday stock prices; Overreaction; Stock price reversals (search for similar items in EconPapers)
JEL-codes: G11 G14 G19 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:1:p:203-205

DOI: 10.1016/j.econlet.2012.10.023

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