Highs and lows: A behavioural and technical analysis

Bruce Mizrach, Susan Weerts

Research output: Contribution to journalArticlepeer-review

9 Scopus citations

Abstract

We find that turnover rises on n-day highs and lows and is an increasing function of n. We offer several explanations from the technical and behavioural finance literature for why traders might use these signals. Turnover is persistent following these events, and new lows provide abnormal returns for up to 6 trading days.

Original languageEnglish (US)
Pages (from-to)767-777
Number of pages11
JournalApplied Financial Economics
Volume19
Issue number10
DOIs
StatePublished - Jul 17 2009

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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