Highs and Lows: A Behavioral and Technical Analysis
Rutgers University, Department of Economics
Rutgers University, New Brunswick/Piscataway, Faculty of Arts and Sciences-New Brunswick/Piscataway, Department of Economics
November 27, 2007
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 behavioral 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.
Number of Pages in PDF File: 20
Keywords: behavioral finance, technical analysis, turnover, n-day high/low, abnormal returns
JEL Classification: G14, G20
Date posted: April 9, 2008
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