We identify samples of losers and winners by selecting daily stock price returns in excess of 10% (sign ignored) and determine whether these samples over- or underreact. We then identify "informed" events, which correspond to announcements in the "Wall Street Journal"("WSJ"), and "uninformed" events, which are not explained in the "WSJ". For winners, there is overreaction in response to uninformed events but no overreaction on average in response to informed events. This finding suggests the degree of overreaction to new information depends on whether the cause of the extreme stock price change is publicly released. 2003 The Southern Finance Association and the Southwestern Finance Association.
A trigger value of −5% is used to identify a sample of real estate trusts (REITS) that experience substantial one-day price declines. Abnormal returns are then calculated for the subsequent two-day period. The results of this study suggest stock price reversals are associated with extreme stock price declines for REITS. Hence, it appears the market overreacts at the time unfavorable information about REITS is disseminated. The degree of reversal across the sample is assessed according to variables such as the initial price decline (day 0), pre-event leakage (day −1), size (capitalization), the type of real estate investment trust, and relative trading volume. Copyright Springer Science + Business Media, Inc. 2004real estate investment trust, overreaction, market efficiency,
Night trading provides an ideal laboratory to assess the behavior of stock markets when institutional liquidity providers are less active. The evidence indicates that extreme positive (winner) and negative (loser) stock-price movements during night sessions are followed by reversals the next day. The reversals are more pronounced following extreme stock-price movements that are associated with less trading volume and lower liquidity. Within-the-night sample reversals are less pronounced for stocks of companies issuing earnings announcements. Copyright 2006 by the Eastern Finance Association.
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