Intraday overreaction of stock prices
نویسندگان
چکیده
We propose a concept of intraday overreaction characterized by intraday price movements which are corrected within the same trading day. It is a concept of relative overreaction in the sense that the price range within a trading day is large in comparison with the openclose return volatility. As a one-sided concept it allows to distinguish between upward and downward overreaction. A test for overreaction is proposed and applied to daily high, low, and open-close returns of the components of the S&P500 and to the German XETRA-DAX stock shares, providing strong support for intraday overreactions to bad news. JEL-classifications: C22, C52, G10
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