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Stock Returns Following Large Price Changes and News Releases – Evidence from Germany

https://doi.org/10.2139/ssrn.2405373
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s00181-012-0649-2openalex-extracted
Published stock recommendations as investor sentiment in the near-term stock market
inferredcites →https://doi.org/10.1016/0304-405x(89)90096-2openalex-extracted
Nonstationary expected returns
inferredcites →https://doi.org/10.1016/0304-405x(92)90005-iopenalex-extracted
Measuring abnormal performance
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-405x(94)00806-copenalex-extracted
Problems in measuring portfolio performance An application to contrarian investment strategies
inferredcites →https://doi.org/10.1016/0378-4266(90)90060-fopenalex-extracted
Overreaction in the Spanish equity market
inferredcites →https://doi.org/10.1016/0378-4266(94)00011-5openalex-extracted
Overreaction in the Brazilian stock market
inferredcites →https://doi.org/10.1016/j.qref.2006.02.005openalex-extracted
Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market
inferredcites →https://doi.org/10.1016/j.qref.2010.12.002openalex-extracted
Short-term market overreaction on the Frankfurt stock exchange
inferredcites →https://doi.org/10.1016/s0378-4266(00)00091-1openalex-extracted
Return predictability following large price changes and information releases
inferredcites →https://doi.org/10.1016/s0378-4266(98)00133-2openalex-extracted
Do markets overreact: International evidence
inferredcites →https://doi.org/10.1016/s1042-444x(03)00017-3openalex-extracted
Short-term contrarian investing—is it profitable? … Yes and No
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-extracted
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1017/cbo9780511809477.031openalex-extracted
Intuitive prediction: Biases and corrective procedures
inferredcites →https://doi.org/10.1086/261535openalex-extracted
Permanent and Temporary Components of Stock Prices
inferredcites →https://doi.org/10.1086/296425openalex-extracted
On the Contrarian Investment Strategy
inferredcites →https://doi.org/10.1111/j.1475-6803.1995.tb00209.xopenalex-extracted
THE INFLUENCE OF ORGANIZED OPTIONS TRADING ON STOCK PRICE BEHAVIOR FOLLOWING LARGE ONE‐DAY STOCK PRICE DECLINES
inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb05004.xopenalex-extracted
Does the Stock Market Overreact?
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb04569.xopenalex-extracted
Further Evidence On Investor Overreaction and Stock Market Seasonality
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb02684.xopenalex-extracted
The Reversal of Large Stock-Price Decreases
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb04428.xopenalex-extracted
Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1207/s15427579jpfm0403_5openalex-extracted
Short-Term Overreaction in the Hong Kong Stock Market: Can a Contrarian Trading Strategy Beat the Market?
inferredcites →https://doi.org/10.1207/s15427579jpfm0404_3openalex-extracted
Investor Confidence and Returns Following Large One-Day Price Changes
inferredcites →https://doi.org/10.2139/ssrn.1306233openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2390063openalex-extracted
Non-U.S. Multi-Factor Data Sets Should be Used with Caution
inferredcites →https://doi.org/10.2139/ssrn.262452openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.3139180openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.794264openalex-extracted
inferredcites →https://doi.org/10.2307/2329556openalex-extracted
inferredcites →https://doi.org/10.2307/2330891openalex-extracted
Size, Seasonality, and Stock Market Overreaction
inferredcites →https://doi.org/10.2307/2331015openalex-extracted
Price Reversals, Bid-Ask Spreads, and Market Efficiency
inferredcites →https://doi.org/10.2307/2331119openalex-extracted
A Market Microstructure Explanation for Predictable Variations in Stock Returns following Large Price Changes
inferredcites →https://doi.org/10.2307/2331204openalex-extracted
Predictable Patterns after Large Stock Price Changes on the Tokyo Stock Exchange
inferredcites →https://doi.org/10.2307/j.ctt7skm5openalex-extracted
The Econometrics of Financial Markets
inferredcites →https://doi.org/10.3386/w6324openalex-extracted
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
inferredcites →https://doi.org/10.3905/joi.2011.20.3.018openalex-extracted
The Determinants of Stock Returns in theOctober 9, 2007–March 9, 2009 Bear Market
inferredcites →https://doi.org/10.1016/j.jfineco.2007.03.005openalex-snapshot
Liquidity and Market Efficiency
inferredcites →https://doi.org/10.1016/j.jfineco.2012.06.011openalex-snapshot
Stock Returns after Major Price Shocks: The Impact of Information
inferredcites →https://doi.org/10.1016/s0304-405x(03)00146-6openalex-snapshot
Stock price reaction to news and no-news: drift and reversal after headlines
inferredcites →https://doi.org/10.1093/rfs/hhaa080openalex-snapshot
Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects
inferredcites →https://doi.org/10.1111/0022-1082.00077openalex-snapshot
Investor Psychology and Security Market Under‐ and Overreactions
inferredcites →https://doi.org/10.1111/1475-6803.00048openalex-snapshot
What Drives Stock Price Behavior Following Extreme One‐Day Returns
inferredcites →https://doi.org/10.2469/faj.v55.n6.2317openalex-snapshot
Contrarian and Momentum Strategies in Germany

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1016/j.najef.2017.04.002openalex-snapshot
Stock overreaction to extreme market events
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