search query: @indexterm Noise / total: 23
reference: 5 / 23
| Author: | Chelley-Steeley, P. |
| Title: | Opening Returns, Noise, and Overreaction |
| Journal: | Journal of Financial Research
2001 : WINTER, VOL. 24:4, p. 513-522 |
| Index terms: | FINANCE FINANCING ANALYTICAL REVIEW NOISE PRICES PRICE LEVEL |
| Language: | eng |
| Abstract: | In this article a partial-adjustment model, which shows how equity prices fail to adjust instantaneously to new information, is estimated using a Kalman filter. For the components of the Dow Jones Industrial 30 index the author aims to identify whether overreaction or noise is the cause of serial correlation and high volatility associated with opening returns. The author of the article finds that the tendency for overreaction in opening prices is much stronger than for closing prices; therefore, overreaction rather than noise may account for differences in the return behavior of opening and closing returns. The paper provides a substantial list of references on this subject. |
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