Short-Term Return Reversals and Intraday Transactions

研究成果: ジャーナルへの寄稿学術誌査読

抄録

I examine whether a short-term reversal is attributed to past intraday or overnight price movements. The results show that intraday returns significantly reverse in the following week, while overnight returns do not, indicating that the short-term reversal is attributed to past intraday price movements. In addition, the reversal of intraday returns is stronger for more illiquid stocks and during more volatile market conditions, while the reversal is unaffected by fundamental news. This result supports the view that short-term reversals are attributable mainly to price concessions for liquidity providers to absorb intraday uninformed transactions, rather than intraday price reactions to fundamental information.

本文言語英語
論文番号1950002
ジャーナルQuarterly Journal of Finance
9
1
DOI
出版ステータス出版済み - 3月 1 2019
外部発表はい

!!!All Science Journal Classification (ASJC) codes

  • 財務
  • 経済学、計量経済学
  • 戦略と経営

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