Cox is from Appalachian State University and Peterson is from Florida State University. We thank Gary Benesh, Pamela Peterson, an anonymous reviewer, and the editor, René M. Stulz, for helpful comments.
Stock Returns following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance
Article first published online: 30 APR 2012
1994 The American Finance Association
The Journal of Finance
Volume 49, Issue 1, pages 255–267, March 1994
How to Cite
COX, D. R. and PETERSON, D. R. (1994), Stock Returns following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance. The Journal of Finance, 49: 255–267. doi: 10.1111/j.1540-6261.1994.tb04428.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
We examine stock returns following large one-day price declines and find that the bid-ask bounce and the degree of market liquidity explain short-term price reversals. Further, we do not find evidence consistent with the overreaction hypothesis. We observe that securities with large one-day price declines perform poorly over an extended time horizon.