Highs and Lows: A Behavioral and Technical Analysis

Bruce Mizrach and Susan Weerts ()
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Susan Weerts: Rutgers University

Departmental Working Papers from Rutgers University, Department of Economics

Abstract: We find that turnover rises on n-day highs and lows and is an increasing function of n. We offer several explanations from the technical and behavioral finance literature for why traders might use these signals. Turnover is persistent following these events, and new lows provide abnormal returns for up to 6 trading days.

Keywords: behavioral finance; technical analysis; turnover; n-day high/low; abnormal returns (search for similar items in EconPapers)
JEL-codes: G14 G20 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2006-08-21
New Economics Papers: this item is included in nep-fin and nep-fmk
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Published in Applied Financial Economics 19, 2009, 767-77.

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http://www.sas.rutgers.edu/virtual/snde/wp/2006-10.pdf (application/pdf)

Related works:
Journal Article: Highs and lows: a behavioural and technical analysis (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:rut:rutres:200610

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