Abstract
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 language | English (US) |
|---|---|
| Pages (from-to) | 535-547 |
| Number of pages | 13 |
| Journal | Journal of Financial and Quantitative Analysis |
| Volume | 25 |
| Issue number | 4 |
| DOIs | |
| State | Published - 1990 |
ASJC Scopus subject areas
- Economics and Econometrics
- Accounting
- Finance