Price Reversals, Bid-Ask Spreads, and Market Efficiency

Allen B Atkins, Edward A. Dyl

Research output: Contribution to journalArticlepeer-review

163 Scopus citations


We examine the behavior of common stock prices after a large change in price occurs during a single trading day and find evidence that the stock market appears to have overreacted, especially in the case of price declines; however, the magnitude of the overreaction is small compared to the bid-ask spreads observed for the individual stocks in the sample. We interpret this finding as being consistent with a market that is efficient after transactions costs are considered.

Original languageEnglish (US)
Pages (from-to)535-547
Number of pages13
JournalJournal of Financial and Quantitative Analysis
Issue number4
StatePublished - 1990

ASJC Scopus subject areas

  • Economics and Econometrics
  • Accounting
  • Finance


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