Overreaction of Dow stocks

Figures & data

Table 1. Descriptive statistics for the adjusted daily returns

Mean	0.00000
Standard deviation	0.01488
Skewness	0.281
Kurtosis	29.999

Table 2. Actual number of big days and expected number with normal distribution

Daily return (%)	Expected number	Actual number
> 10%	0.000011	439
> 5	270.1	3,810
<‒5	270.1	3,021
<‒10	0.000011	337

Table 3. Percentage of stocks with positive adjusted returns the day after a big day

Cutoff (%)	After + big day	After‒big day	p-value
5	44.34	53.60	1.7 x 10^−11
6	44.34	52.45	3.0 x 10^−7
7	43.95	50.90	0.00050
8	42.87	53.83	0.00001
9	45.35	53.22	0.007
10	46.10	53.12	0.031

Table 4. Average percentage adjusted daily return on stocks the day after a big day

Cutoff, %	After + big day	After ‒ big day	p-value
5	−0.1107	0.2325	0.0016
6	−0.1482	0.1919	0.0440
7	−0.0871	0.1437	0.3558
8	−0.2539	0.2673	0.1370
9	−0.1333	0.2396	0.4225
10	−0.2403	0.2910	0.3663

Table 5. Percentage adjusted daily returns on stocks after 5% big day

	Average adjusted daily return			Average adjusted cumulative return
Day	+Big day	‒Big day	p-value	+Big day	‒Big day	p-value
1	−0.1107	0.2325	0.0016	−0.1107	0.2325	0.0016
2	−0.0922	0.3180	0.0000	−0.2166	0.5399	0.0000
3	−0.0902	0.1238	0.0260	−0.3270	0.6526	0.0000
4	−0.0398	0.1662	0.0320	−0.3924	0.7901	0.0000
5	−0.0266	0.0319	0.5127	−0.4298	0.7771	0.0000
6	−0.0655	0.0940	0.0768	−0.5035	0.8295	0.0000
7	−0.0374	0.0572	0.2970	−0.5568	0.8280	0.0000
8	−0.0030	0.0729	0.3909	−0.5788	0.8589	0.0000
9	−0.0071	−0.0007	0.9380	−0.6173	0.8530	0.0000
10	0.0636	0.0279	0.6722	−0.5923	0.8694	0.0000

Figure 1. Average daily adjusted return after a 5% big day.

Figure 2. Cumulative average daily adjusted return after a 5% big day.

Figure 3. Standard deviation of daily adjusted returns before and after a 5% big day.

Figure 4. Kurtosis of daily adjusted returns before and after a 5% big day.

Figure 5. Skewness of daily adjusted returns before and after a 5% big day.