search query: @journal_id 56 / total: 1032
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| Author: | Gosnell, T. |
| Title: | The distribution of reversals and continuations and tests for intraday market efficiency |
| Journal: | Journal of Business Finance and Accounting
1995 : MAR, VOL. 22:2, p. 225-244 |
| Index terms: | FINANCE ACCOUNTING PRICING |
| Language: | eng |
| Abstract: | a number of researchers have used the distribution of reversal and continuation price changes to measure the intraday speed of price adjustment to new information. The power and validity of these tests are based on the assumptions that the distribution is stable across firms and over the trading day. An examination of the price change behavior of 667 firms over a 23 month time period reveals that neither of these assumptions is valid. |
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