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An event study of price movements following realized jumps

Asgharian, Hossein LU ; Holmfeldt, Mia LU and Larsson, Marcus LU (2011) In Quantitative Finance 11(6). p.933-946
Abstract (Swedish)
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.
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author
organization
publishing date
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
2011-01-18 09:46:37
date last changed
2017-01-01 03:37:23
@article{75d3a6be-ddab-467d-acfd-5d260c5e8bf6,
  abstract     = {<b>Abstract in Undetermined</b><br/><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},
  keyword      = {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},
  volume       = {11},
  year         = {2011},
}