The Reversal of Large Stock‐Price Decreases
研究发现，股票在经历10天大幅下跌后，随后几天会出现超预期的正收益，这种调整持续约2天，且不受常见方法论问题影响，对理解市场效率有启发。
ABSTRACT Extremely large negative 10‐day rates of return are followed on average by larger‐than‐expected positive rates of return over following days. This price adjustment lasts approximately 2 days and is observed in a sample of firms that is largely devoid of methodological problems that might explain the reversal phenomenon. While perhaps not representing abnormal profit opportunities, these reversals present a puzzle as to the length of the price adjustment period. Such a slow recovery is inconsistent with the notion that market prices quickly reflect relevant information.