We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Evaluating Stock Price Behavior after Events: An Application of the Self-Exciting Threshold Autoregressive Model.
- Authors
Bharati, Rakesh; Crain, Susan J.; Nanisetty, Prasad
- Abstract
Stocks returns following large price changes provide a conflicting picture when events are measured weekly or daily. This study uses a new methodology to identify event thresholds and to examine post-event daily stock return behavior over a period of 20 days. After negative events, there is strong reversal in the short term followed by continuing reversal up to four weeks, with the reversal being proportional to the price decline. After positive events, the results are mixed in aggregate, but there is strong evidence of overreaction in the short and longer term following extremely large gains. A regression-based model helps to further explain these conflicting results.
- Subjects
REGRESSION analysis; STOCK transfer; STOCK management (Finance); AUTOREGRESSION (Statistics); INVESTMENT policy; GROWTH stocks
- Publication
Quarterly Journal of Finance & Accounting, 2009, Vol 48, Issue 2, p23
- ISSN
1939-8123
- Publication type
Article