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Short-Horizon Return Reversals and the Bid-Ask Spread

JOURNAL OF FINANCIAL INTERMEDIATION, Vol 4 No 2, April 1995

Posted: 10 Oct 1998  

Narasimhan Jegadeesh

Emory University - Department of Finance

Sheridan Titman

University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)

Abstract

We show that the pattern of short-term negative serial covariances for stock returns over different return measurement intervals is consistent with the implications of inventory-based market microstructure models. We develop additional testable implications of these models and document supporting evidence. Our findings indicate that to a large extent the short-horizon return reversals can be explained by dealer-inventory-related market microstructure effects.

JEL Classification: G14, G20

Suggested Citation

Jegadeesh, Narasimhan and Titman, Sheridan, Short-Horizon Return Reversals and the Bid-Ask Spread. JOURNAL OF FINANCIAL INTERMEDIATION, Vol 4 No 2, April 1995. Available at SSRN: https://ssrn.com/abstract=6471

Narasimhan Jegadeesh (Contact Author)

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States

Sheridan Titman

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-232-2787 (Phone)
512-471-5073 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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