Back to Search
Start Over
Price anchors and short‐term reversals.
- Source :
- Financial Management (Wiley-Blackwell); Jun2021, Vol. 50 Issue 2, p425-454, 30p
- Publication Year :
- 2021
-
Abstract
- We find that price anchors have a role in understanding short‐run reversals in 1‐month (1 M) stock returns in conjunction with the well‐known liquidity provision channel. Specifically, we determine that 1 M reversal strategies perform much better for stocks that have (a) a low price relative to their 52‐week high (George and Hwang) and (b) a low capital gains overhang (Grinblatt and Han). Further, we uncover striking asymmetries in the reversal behavior between past winners and past losers depending upon the stock's price relative to the price reference points. These reversal asymmetries fit with the hypothesized price anchoring biases. [ABSTRACT FROM AUTHOR]
- Subjects :
- CAPITAL gains
REFERENCE pricing
STOCK prices
LIQUIDITY (Economics)
Subjects
Details
- Language :
- English
- ISSN :
- 00463892
- Volume :
- 50
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Financial Management (Wiley-Blackwell)
- Publication Type :
- Academic Journal
- Accession number :
- 150672608
- Full Text :
- https://doi.org/10.1111/fima.12327