Stock Returns following Large One‐Day Declines: Evidence on Short‐Term Reversals and Longer‐Term Performance
研究股票在单日大幅下跌后的收益表现，发现买卖价差反弹和市场流动性解释了短期价格反转，但长期表现不佳，不支持过度反应假说。
ABSTRACT We 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, we do not find evidence consistent with the overreaction hypothesis. We observe that securities with large one‐day price declines perform poorly over an extended time horizon.