JOURNAL OF FINANCIAL INTERMEDIATION, Vol 4 No 2, April 1995
Posted: 10 Oct 1998
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: 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