Abstract

http://ssrn.com/abstract=1118080
 
 

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Highs and Lows: A Behavioral and Technical Analysis


Bruce Mizrach


Rutgers University, Department of Economics

Susan Weerts


Rutgers University, New Brunswick/Piscataway, Faculty of Arts and Sciences-New Brunswick/Piscataway, Department of Economics

November 27, 2007


Abstract:     
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

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Date posted: April 9, 2008  

Suggested Citation

Mizrach, Bruce and Weerts, Susan, Highs and Lows: A Behavioral and Technical Analysis (November 27, 2007). Available at SSRN: http://ssrn.com/abstract=1118080 or http://dx.doi.org/10.2139/ssrn.1118080

Contact Information

Bruce Mizrach (Contact Author)
Rutgers University, Department of Economics ( email )
75 Hamilton Street
New Brunswick, NJ 08901
United States
(848) 932-8636 (Phone)
(732) 932-7416 (Fax)
HOME PAGE: http://snde.rutgers.edu/
Susan Weerts
Rutgers University, New Brunswick/Piscataway, Faculty of Arts and Sciences-New Brunswick/Piscataway, Department of Economics ( email )
75 Hamilton Street
New Brunswick, NJ 08901
United States
Feedback to SSRN


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