%0 Journal Article
%T Short-Term Stock Price Reversals May Be Reversed
%A Andrey Kudryavtsev
%J International Journal of Economic Sciences and Applied Research
%D 2012
%I Kavala Institute of Technology
%X In present study, I explore intraday behavior of stock prices. In particular, I try to shed light onthe dynamics of stock price reversals and namely, on the short-term character the latter maypossess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculateintraday upside and downside volatility measures, following Becker et al. (2008) and Klossner etal. (2012), as a proxy for reversed overreactions to good and bad news, respectively. I documentthat for all the stocks in the sample, mean daily returns following the days when a stock¡¯supside volatility measure was higher or equal to its downside volatility measure are higher thanfollowing the days when the opposite relationship held, indicating that stock prices display ashort-run ¡®reversals of reversals¡¯ behavior following corrected, or reversed, overreactions tonews. Furthermore, I construct seven different portfolios built upon the idea of daily adjustinga long position in the stocks that according to ¡®reversals of reversals¡¯ behavior are expectedto yield high daily returns, and a short position in the stocks, whose daily returns are expectedto be low. All the portfolios yield significantly positive returns, providing an evidence for thepractical applicability of the ¡®reversals of reversals¡¯ pattern in stock prices.
%K Intraday Stock Prices
%K Intraday Volatility
%K Overreaction
%K Stock Price Reversals
%K Reactions to News
%U http://www.ijesar.org/docs/volume5_issue3/stock_price_reversals.pdf