Highs and Lows: A Behavioral and Technical Analysis

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.

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Year of publication:	2006-08-21
Authors:	Mizrach, Bruce ; Weerts, Susan
Institutions:	Department of Economics, Rutgers University-New Brunswick
Subject:	behavioral finance \| technical analysis \| turnover \| n-day high/low \| abnormal returns

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Applied Financial Economics 19, 2009, 767-77. 20 pages
Classification:	G14 - Information and Market Efficiency; Event Studies ; G20 - Financial Institutions and Services. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005839058