Short-Term Return Reversals and Intraday Transactions

Quarterly Journal of Finance, Forthcoming

32 Pages Posted: 21 May 2018

See all articles by Kotaro Miwa

Kotaro Miwa

Tokio Marine Asset Management

Date Written: March 31, 2018

Abstract

I examine whether a short-term reversal is attributed to past intraday or overnight price movements. The results show that intraday returns significantly reverse in the following week, while overnight returns do not, indicating that the short-term reversal is attributed to past intraday price movements. In addition, the reversal of intraday returns is stronger for more illiquid stocks and during more volatile market conditions, while the reversal is unaffected by fundamental news. This result supports the view that short-term reversals are attributable mainly to price concessions for liquidity providers to absorb intraday uninformed transactions, rather than intraday price reactions to fundamental information.

Keywords: short-term return reversal, intraday returns, liquidity, fundamental news

JEL Classification: G12, G14

Suggested Citation

Miwa, Kotaro, Short-Term Return Reversals and Intraday Transactions (March 31, 2018). Quarterly Journal of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3174484

Kotaro Miwa (Contact Author)

Tokio Marine Asset Management ( email )

1-3-1, Marunouchi
Chiyoda-ku
Tokyo
Japan
81332128186 (Phone)

HOME PAGE: http://sites.google.com/site/kotmiwa/

Register to save articles to
your library

Register

Paper statistics

Downloads
495
Abstract Views
1,420
rank
57,642
PlumX Metrics