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Alexandru-Septimiu Rif
Last Name
Rif
First name
Alexandru-Septimiu
Email
alexandru.rif@unisg.ch
Phone
+41 71 224 2311
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PublicationShort-term stock price reversals after extreme downward price movements( 2021)We studied the intraday effects of return overreactions around extreme negative one-minute interval returns of Nasdaq100 constituents based on nanosecond data. An extreme negative one-minute interval return is defined as the lowest return that occurs once in 1,000 one-minute intervals. We document that 31% of such an extreme one-minute interval's return is reversed in the subsequent trading minute. The relative magnitude of the reversal after extreme negative one-minute interval returns is particularly high for the 20% most liquid and the 20% largest firms of our sample.Type: forthcomingJournal: Quarterly Review of Economics and Finance