Evaluating Stock Price Behavior after Events: An Application of the Self-Exciting Threshold Autoregressive Model
Stocks returns following large price changes provide a conflicting picture when events are measured weekly or daily. This study uses a new methodology to identify event thresholds and to examine post-event daily stock return behavior over a period of 20 days. After negative events, there is strong reversal in the short term followed by continuing reversal up to four weeks, with the reversal being proportional to the price decline. After positive events, the results are mixed in aggregate, but there is strong evidence of overreaction in the short and longer term following extremely large gains. A regression-based model helps to further explain these conflicting results. [ABSTRACT FROM AUTHOR] Copyright of Quarterly Journal of Finance & Accounting is the property of Creighton University, College of Business and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Finance and General Business
Bharati, Rakesh, Susan J. Crain, and Prasad Nanisetty. "Evaluating stock price behavior after events: An application of the self-exciting threshold autoregressive model." Quarterly Journal of Finance and Accounting 48, no. 2 (2009): 23-43.
Quarterly Journal of Finance & Accounting