An event study of price movements following realized jumps
(2011) In Quantitative Finance 11(6). p.933-946- Abstract
- Abstract in Undetermined
Price jumps are mostly related to investor reactions to unexpected extreme news. We perform an event study of price movements after jumps to analyse if investors' reactions are affected by psychological biases. We employ recent non-parametric methods based on intraday returns to separate large price movements that are related to unexpected news from those merely caused by periods of high volatility. In general, we find evidence for irrational pricing, which can be associated with investors' optimistic behavior in a bull market and the pessimism prevailing in a bear market. Furthermore, our analysis confirms the conjecture that small firms are more subject to speculative trading than large firms.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1486043
- author
- Asgharian, Hossein LU ; Holmfeldt, Mia LU and Larsson, Marcus LU
- organization
- publishing date
- 2011
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Behavioral finance, Empirical asset pricing, Volatility modelling, Financial econometrics, Anomalies in prices, Quantitative finance
- in
- Quantitative Finance
- volume
- 11
- issue
- 6
- pages
- 933 - 946
- publisher
- Taylor & Francis
- external identifiers
-
- wos:000291269500010
- scopus:79957847818
- ISSN
- 1469-7696
- DOI
- 10.1080/14697680903369518
- language
- English
- LU publication?
- yes
- id
- 75d3a6be-ddab-467d-acfd-5d260c5e8bf6 (old id 1486043)
- date added to LUP
- 2016-04-01 10:28:16
- date last changed
- 2022-04-27 22:25:17
@article{75d3a6be-ddab-467d-acfd-5d260c5e8bf6, abstract = {{Abstract in Undetermined<br/>Price jumps are mostly related to investor reactions to unexpected extreme news. We perform an event study of price movements after jumps to analyse if investors' reactions are affected by psychological biases. We employ recent non-parametric methods based on intraday returns to separate large price movements that are related to unexpected news from those merely caused by periods of high volatility. In general, we find evidence for irrational pricing, which can be associated with investors' optimistic behavior in a bull market and the pessimism prevailing in a bear market. Furthermore, our analysis confirms the conjecture that small firms are more subject to speculative trading than large firms.}}, author = {{Asgharian, Hossein and Holmfeldt, Mia and Larsson, Marcus}}, issn = {{1469-7696}}, keywords = {{Behavioral finance; Empirical asset pricing; Volatility modelling; Financial econometrics; Anomalies in prices; Quantitative finance}}, language = {{eng}}, number = {{6}}, pages = {{933--946}}, publisher = {{Taylor & Francis}}, series = {{Quantitative Finance}}, title = {{An event study of price movements following realized jumps}}, url = {{http://dx.doi.org/10.1080/14697680903369518}}, doi = {{10.1080/14697680903369518}}, volume = {{11}}, year = {{2011}}, }