Download this Paper Open PDF in Browser

Highs and Lows: A Behavioral and Technical Analysis

20 Pages Posted: 9 Apr 2008  

Bruce Mizrach

Rutgers University, Department of Economics

Susan Weerts

Rutgers, The State University of New Jersey - Department of Economics

Date Written: 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.

Keywords: behavioral finance, technical analysis, turnover, n-day high/low, abnormal returns

JEL Classification: G14, G20

Suggested Citation

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

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, The State University of New Jersey - Department of Economics ( email )

75 Hamilton Street
New Brunswick, NJ 08901
United States

Paper statistics

Downloads
1,523
Rank
9,171
Abstract Views
7,644