Connolly is from the Kenan-Flagler Business School at the University of North Carolina at Chapel Hill, and Stivers is from the Terry College of Business at the University of Georgia. We thank Jennifer Conrad; Mike Cooper; Shane Corwin; Roger Edelen; Rick Green (the editor); John Heaton; Charles Jones; Marc Lipson; Stewart Mayhew; Joe Sinkey; Jiang Wang; Harold Zhang; an anonymous referee; and seminar participants at the 2000 American Finance Association meeting, the 1999 Financial Management Association meeting, and the University of Georgia for their comments. Stivers also thanks the Federal Reserve Bank of Atlanta for research support. The views expressed here are the authors' and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. All errors are our own.
Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return Dispersion
Version of Record online: 15 JUL 2003
© 2003 the American Finance Association
The Journal of Finance
Volume 58, Issue 4, pages 1521–1556, August 2003
How to Cite
Connolly, R. and Stivers, C. (2003), Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return Dispersion. The Journal of Finance, 58: 1521–1556. doi: 10.1111/1540-6261.00576
- Issue online: 15 JUL 2003
- Version of Record online: 15 JUL 2003
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