Volume and Price Patterns around a Stock's 52-Week Highs and Lows: Theory and Evidence

We provide large sample evidence that past price extremes influence investors' trading decisions. Volume is strikingly higher, in both economic and statistical terms, when the stock price crosses either the upper or lower limit of its past trading range. This increase in volume is more pronounc...

Ausführliche Beschreibung

Bibliographische Detailangaben
Veröffentlicht in:	Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 55(2009), 1, Seite 16-31
1. Verfasser:	Huddart, Steven (VerfasserIn)
Weitere Verfasser:	Lang, Mark, Yetman, Michelle H.
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	2009
Zugriff auf das übergeordnete Werk:	Management Science
Schlagworte:	decision analysis prospect theory value function reference point behavioral finance attention Economics Business Mathematics Philosophy


LEADER	01000caa a22002652 4500
001	JST092374719
003	DE-627
005	20240624012347.0
007	cr uuu---uuuuu
008	151228s2009 xx \|\|\|\|\|o 00\| \|\|eng c
035			\|a (DE-627)JST092374719
035			\|a (JST)40539124
040			\|a DE-627 \|b ger \|c DE-627 \|e rakwb
041			\|a eng
100	1		\|a Huddart, Steven \|e verfasserin \|4 aut
245	1	0	\|a Volume and Price Patterns around a Stock's 52-Week Highs and Lows: Theory and Evidence
264		1	\|c 2009
336			\|a Text \|b txt \|2 rdacontent
337			\|a Computermedien \|b c \|2 rdamedia
338			\|a Online-Ressource \|b cr \|2 rdacarrier
520			\|a We provide large sample evidence that past price extremes influence investors' trading decisions. Volume is strikingly higher, in both economic and statistical terms, when the stock price crosses either the upper or lower limit of its past trading range. This increase in volume is more pronounced the longer the time since the stock price last achieved the price extreme, the smaller the firm, the higher the individual investor interest in the stock, and the greater the ambiguity regarding valuation. These results are robust across model specifications and controls for past returns and news arrival. Volume spikes when price crosses either the upper or lower limit of the past trading range, then gradually subsides. After either event, returns are reliably positive and, among small investors, trades classified as buyer-initiated are elevated. Overall, results are more consistent with bounded rationality than with other candidate explanations.
540			\|a Copyright 2009 United States of America
650		4	\|a decision analysis
650		4	\|a prospect theory
650		4	\|a value function
650		4	\|a reference point
650		4	\|a behavioral finance
650		4	\|a attention
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial investments \|x Investors
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial instruments \|x Financial securities \|x Capital stocks \|x Stock prices
650		4	\|a Business \|x Business operations \|x Commerce \|x Trade
650		4	\|a Business \|x Business operations \|x Commerce \|x Business orders
650		4	\|a Mathematics \|x Applied mathematics \|x Management science
650		4	\|a Economics \|x Economic disciplines \|x Applied economics \|x Econometrics \|x Economic indicators \|x Economic indices \|x Stock market indices \|x Nasdaq Composite Index
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Stock exchanges
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial investments \|x Investment returns \|x Dividends
650		4	\|a Philosophy \|x Epistemology \|x Empiricism \|x Empirical evidence
650		4	\|a Business \|x Business operations \|x Commerce \|x Trade \|x Exports \|x Net exports \|x Balance of trade \|x Trade volume
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial investments \|x Investors
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial instruments \|x Financial securities \|x Capital stocks \|x Stock prices
650		4	\|a Business \|x Business operations \|x Commerce \|x Trade
650		4	\|a Business \|x Business operations \|x Commerce \|x Business orders
650		4	\|a Mathematics \|x Applied mathematics \|x Management science
650		4	\|a Economics \|x Economic disciplines \|x Applied economics \|x Econometrics \|x Economic indicators \|x Economic indices \|x Stock market indices \|x Nasdaq Composite Index
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Stock exchanges
650		4	\|a Economics \|x Economic disciplines \|x Financial economics \|x Finance \|x Financial investments \|x Investment returns \|x Dividends
650		4	\|a Philosophy \|x Epistemology \|x Empiricism \|x Empirical evidence
650		4	\|a Business \|x Business operations \|x Commerce \|x Trade \|x Exports \|x Net exports \|x Balance of trade \|x Trade volume
655		4	\|a research-article
700	1		\|a Lang, Mark \|e verfasserin \|4 aut
700	1		\|a Yetman, Michelle H. \|e verfasserin \|4 aut
773	0	8	\|i Enthalten in \|t Management Science \|d Institute for Operations Research and the Management Sciences, 1954 \|g 55(2009), 1, Seite 16-31 \|w (DE-627)320623602 \|w (DE-600)2023019-9 \|x 15265501 \|7 nnns
773	1	8	\|g volume:55 \|g year:2009 \|g number:1 \|g pages:16-31
856	4	0	\|u https://www.jstor.org/stable/40539124 \|3 Volltext
912			\|a GBV_USEFLAG_A
912			\|a SYSFLAG_A
912			\|a GBV_JST
912			\|a GBV_ILN_11
912			\|a GBV_ILN_20
912			\|a GBV_ILN_22
912			\|a GBV_ILN_23
912			\|a GBV_ILN_24
912			\|a GBV_ILN_31
912			\|a GBV_ILN_32
912			\|a GBV_ILN_39
912			\|a GBV_ILN_40
912			\|a GBV_ILN_60
912			\|a GBV_ILN_62
912			\|a GBV_ILN_63
912			\|a GBV_ILN_65
912			\|a GBV_ILN_69
912			\|a GBV_ILN_70
912			\|a GBV_ILN_90
912			\|a GBV_ILN_95
912			\|a GBV_ILN_100
912			\|a GBV_ILN_110
912			\|a GBV_ILN_120
912			\|a GBV_ILN_151
912			\|a GBV_ILN_152
912			\|a GBV_ILN_187
912			\|a GBV_ILN_224
912			\|a GBV_ILN_285
912			\|a GBV_ILN_374
912			\|a GBV_ILN_702
912			\|a GBV_ILN_2001
912			\|a GBV_ILN_2003
912			\|a GBV_ILN_2005
912			\|a GBV_ILN_2006
912			\|a GBV_ILN_2007
912			\|a GBV_ILN_2008
912			\|a GBV_ILN_2009
912			\|a GBV_ILN_2010
912			\|a GBV_ILN_2011
912			\|a GBV_ILN_2014
912			\|a GBV_ILN_2015
912			\|a GBV_ILN_2018
912			\|a GBV_ILN_2020
912			\|a GBV_ILN_2021
912			\|a GBV_ILN_2026
912			\|a GBV_ILN_2027
912			\|a GBV_ILN_2034
912			\|a GBV_ILN_2044
912			\|a GBV_ILN_2048
912			\|a GBV_ILN_2050
912			\|a GBV_ILN_2055
912			\|a GBV_ILN_2056
912			\|a GBV_ILN_2057
912			\|a GBV_ILN_2059
912			\|a GBV_ILN_2061
912			\|a GBV_ILN_2065
912			\|a GBV_ILN_2068
912			\|a GBV_ILN_2106
912			\|a GBV_ILN_2107
912			\|a GBV_ILN_2108
912			\|a GBV_ILN_2111
912			\|a GBV_ILN_2112
912			\|a GBV_ILN_2113
912			\|a GBV_ILN_2118
912			\|a GBV_ILN_2122
912			\|a GBV_ILN_2129
912			\|a GBV_ILN_2143
912			\|a GBV_ILN_2147
912			\|a GBV_ILN_2148
912			\|a GBV_ILN_2152
912			\|a GBV_ILN_2153
912			\|a GBV_ILN_2190
912			\|a GBV_ILN_2232
912			\|a GBV_ILN_2472
912			\|a GBV_ILN_2935
912			\|a GBV_ILN_2940
912			\|a GBV_ILN_2949
912			\|a GBV_ILN_2950
912			\|a GBV_ILN_4012
912			\|a GBV_ILN_4035
912			\|a GBV_ILN_4037
912			\|a GBV_ILN_4046
912			\|a GBV_ILN_4112
912			\|a GBV_ILN_4125
912			\|a GBV_ILN_4126
912			\|a GBV_ILN_4242
912			\|a GBV_ILN_4246
912			\|a GBV_ILN_4249
912			\|a GBV_ILN_4251
912			\|a GBV_ILN_4305
912			\|a GBV_ILN_4306
912			\|a GBV_ILN_4307
912			\|a GBV_ILN_4313
912			\|a GBV_ILN_4322
912			\|a GBV_ILN_4323
912			\|a GBV_ILN_4324
912			\|a GBV_ILN_4325
912			\|a GBV_ILN_4326
912			\|a GBV_ILN_4335
912			\|a GBV_ILN_4338
912			\|a GBV_ILN_4346
912			\|a GBV_ILN_4393
912			\|a GBV_ILN_4700
951			\|a AR
952			\|d 55 \|j 2009 \|e 1 \|h 16-31