The Reversal of Large Stock‐Price Decreases

  • Author(s): MARC BREMER, RICHARD J. SWEENEY
  • Published: Apr 30, 2012
  • Pages: 747-754
  • DOI: 10.1111/j.1540-6261.1991.tb02684.x

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.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login

Credentials

Members' Options

Site Footer

View Mobile Version