Journal of Finance Vol. 46 No. 2 1991
The Reversal of Large Stock-Price Decreases
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.
- DOI
- 10.2307/2328846
- Volume
- 46
- Issue
- 2
- Pages
- 747
- Sources
- openalex crossref