Review paper
Evaluating Stock Price Behavior after Events: An Application of the Self-Exciting Threshold Autoregressive Model
Abstract
Introduction After events have occurred, stock returns show a decisive pattern of continuation in semi-annual and annual holding periods while there is evidence of reversal over three to five years. (1) Over a weekly horizon, Lehmann (1990) demonstrates contrarian profits, but subsequent studies attribute his profits to cross-autocorrelation in large and small stocks and bid-ask bounce [e.g., Lo and MacKinlay (1990); Conrad, Gultekin, and Kaul...
Paper Details
Title
Evaluating Stock Price Behavior after Events: An Application of the Self-Exciting Threshold Autoregressive Model
Published Date
Mar 22, 2009
Volume
48
Issue
2
Pages
23
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