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Wiley InterScience | ||||||||||||||||||||||||||
  Journal of Financial ResearchVolume 26 Issue 1, Pages 113 - 127 Published Online: 31 Jan 2003 © 2009 The Southern Finance Association and the Southwestern Finance Association
Abstract | References | Full Text: HTML, PDF (Size: 90K) | Related Articles | Citation Tracking  What Drives Stock Price Behavior Following Extreme One-Day Returns Copyright 2003 The Southern Finance Association and the Southwestern Finance Association KEYWORDS G14 Abstract
We identify samples of losers and winners by selecting daily stock price returns in excess of 10% (sign ignored) and determine whether these samples over- or underreact. We then identify "informed" events, which correspond to announcements in the Wall Street Journal(WSJ), and "uninformed" events, which are not explained in the WSJ. For winners, there is overreaction in response to uninformed events but no overreaction on average in response to informed events. This finding suggests the degree of overreaction to new information depends on whether the cause of the extreme stock price change is publicly released. | 
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