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| Author: | Akhnigbe, A. Gosnell, T. Harikumar, T. |
| Title: | Winners and losers on NYSE: a re-examination using daily closing big-ask spreads |
| Journal: | Journal of Financial Research
1998 : SPRING, VOL. 21:1, p. 53-64 |
| Index terms: | STOCK EXCHANGES PRICES CHANGE |
| Language: | eng |
| Abstract: | The authors study a sample of NYSE stocks that experienced a large one-day price change during 1992 and were reported as daily largest percentage gainers and large percentage losers in the Wall Street Journal. The sample indicates significant reversals during the immediate post- announcement period. The authors test for market efficiency by using bid-ask spreads obtained from the transactions data for the days immediately after the announcement. The overall results indicate that the returns during the reversal period are less than the average bid-ask spread during the same time. |
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