Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance.

The authors examine stock returns following large one-day price declines and find that the bid-ask bounce and the degree of market liquidity explain short-term price reversals. Further, they do not find evidence consistent with the overreaction hypothesis. The authors observe that securities with large one-day price declines perform poorly over an extended time horizon. Copyright 1994 by American Finance Association.

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Year of publication:	1994
Authors:	Cox, Don R ; Peterson, David R
Published in:	Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 49.1994, 1, p. 255-67
Publisher:	American Finance Association - AFA

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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