Price Reversals, Bid-Ask Spreads, and Market Efficiency
研究单日大幅价格变动后普通股价格的行为，发现市场似乎过度反应，尤其价格下跌时，但过度反应幅度小于个股买卖价差，表明考虑交易成本后市场有效。
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.