The Long Memory in Stock Price Shocks

摘要：

Do large short-term stock price changes have long-lasting effects on subsequent returns? Yes, they do! Sorting stocks by minimum short-term (one-day, three-day, or five-day) abnormal return within a month, we find significant return differences between the top and the bottom deciles, ranging from 6％ to 8％ over the subsequent 12 months. This shows that there is a significant long-lasting drift following large price drops. In contrast, there is a significant reversal after large positive short-term price changes. Magnitude, robustness, and asymmetry of the long memory effects are surprising. We explore various potential explanations, including microstructure effects, idiosyncratic volatility, investor disagreement, delay, retail trading, and news events. The test results do not suggest that any of these e.ects can account for the long memory in price shocks.

作者: Hai Lu Kevin Q. Wang Xiaolu Wang

作者单位: Joseph L. Rotman School of Management, University of Toronto, 105 St George Street, Toronto, Ontario M5S 3E6, Canada

会议类型: 国际会议

会议名称: 2009年中国金融国际年会

会议地点: 广州

会议语种:英文

页码: 1-55

在线出版日期: 2009-07-07（万方平台首次上网日期，不代表论文的发表时间）