Large price changes that occur on a single day are found to be followed by price reversals on subsequent days. This is evidence that stock prices appear to overreact to new information. The price reversals, however, are usually well within the bid-ask spread and therefore rule out profitable trading strategies and are not evidence of weak-form market efficiency.
|Original language||English (US)|
|Number of pages||6|
|Journal||Applied Financial Economics|
|State||Published - Jun 1 1993|
ASJC Scopus subject areas
- Economics and Econometrics