Trying to Predict Opening Stock Returns

Andrey Kudryavtsev

No 301306, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: In present study, I explore the dynamics of the interday stock price reversals. In particular, I try to shed light on reversals in opening stock returns, that is, on the price reversals during the opening trading sessions with respect to previous day's price tendencies. I analyze intraday price data on thirty stocks currently making up the Dow Jones Industrial Index, employing high-to-close and low-to-close price differences as a proxy for "large" prices moves, and open-to-close stock returns as a proxy for "regular" price moves. I document that opening returns tend to be: (i) higher following the days with relatively large high-to-close price changes (price decreases at the end of the day), and lower following the days with relatively large low-to-close price changes (price increases at the end of the day); and (ii) higher following the days with relatively low open-to-close returns. Based on these findings, I construct a number of daily-adjusted portfolios involving a long (short) position in the opening session in the stocks on the days when, according to the findings, their opening returns are expected to be high (low), and demonstrate that the returns on these portfolios are significantly positive.

Keywords: Intraday Stock Prices; Opening Stock Returns; Overreaction; Stock Price Reversals (search for similar items in EconPapers)
JEL-codes: G11 G14 G19 (search for similar items in EconPapers)
Pages: 1 page
Date: 2014-07
New Economics Papers: this item is included in nep-fmk and nep-mst
References: Add references at CitEc
Citations: Track citations by RSS feed

Published in Proceedings of the Proceedings of the 11th International Academic Conference, Reykjavik, Jul 2014, pages 218-218

Downloads: (external link)
https://iises.net/proceedings/11th-international-a ... id=3&iid=27&rid=1306 First version, 2014

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: https://EconPapers.repec.org/RePEc:sek:iacpro:0301306

Access Statistics for this paper

More papers in Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences
Bibliographic data for series maintained by Klara Cermakova ().