References
- Ball, C. A. and W. N. Torous. “On Jumps in Common Stock Prices and Their Impact on Call Option Pricing.” The Journal of Finance, 40, (1985), pp. 155–173.
- Beatty, A., S. Liao and J. J. Yu. “The Spillover Effect of Fraudulent Financial Reporting on Peer Firms' Investments.” Journal of Accounting and Economics, 55, (2013), pp. 183–205.
- Benou, G. and N. Richie. “The Reversal of Large Stock Price Declines: The Case of Large Firms.” Journal of Economics and Finance, 27, (2003), pp. 19–38.
- Bremer, M. and R. J. Sweeney. “The Reversal of Large Stock‐Price Decreases.” The Journal of Finance, 46, (1991), pp. 747–754.
- Carhart, M. M. “On Persistence in Mutual Fund Performance.” The Journal of Finance, 52, (1997), pp. 57–82.
- Chan, L. K. C., N. Jegadeesh and J. Lakonishok. “Momentum Strategies.” The Journal of Finance, 51, (1996), pp. 1681–1713.
- Choi, H.-S. and N. Jayaraman. “Is Reversal of Large Stock-Price Declines Caused By Overreaction or Information Asymmetry: Evidence from Stock and Option Markets.” Journal of Futures Markets, 29, (2009), pp. 348–376.
- Cohen, L. and A. Frazzini. “Economic Links and Predictable Returns.” The Journal of Finance, 63, (2008), pp. 1977–2011.
- Cox, D. R. and D. R. Peterson. “Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance.” The Journal of Finance, 49, (1994), pp. 255–267.
- De Bondt, F. W. Werner and Richard Thaler. “Does the Stock Market Overreact?” The Journal of Finance, 40, (1985), pp. 793–805.
- De Bondt, F. M. Werner and Richard H. Thaler. “Do Security Analysts Overreact?” The American Economic Review, 80, (1990), pp. 52–57.
- Hong, H., T. Lim and J. C. Stein. “Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies.” The Journal of Finance, 55, (2000), pp. 265–295.
- Hou, K. “Industry Information Diffusion and the Lead-lag Effect in Stock Returns.” Review of Financial Studies, 20, (2007), pp. 1113–1138.
- Hou, K. and T. J. Moskowitz. “Market Frictions, Price Delay, and the Cross-section of Expected Returns.” Review of Financial Studies, 18, (2005), pp. 981–1020.
- Hou, K. and D. T. Robinson. “Industry Concentration and Average Stock Returns.” The Journal of Finance, 61, (2006), pp. 1927–1956.
- George, T. J. and C.-Y. Hwang. “The 52-Week High and Momentum Investing.” The Journal of Finance, 59, (2004), pp. 2145–2176.
- Jegadeesh, N. and S. Titman. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance, 48, (1993), pp. 65–91.
- Larson, S. J. and J. Madura. “What Drives Stock Price Behavior Following Extreme One-Day Returns.” Journal of Financial Research, 26, (2003), pp. 113–127.
- Park, J. “A Market Microstructure Explanation for Predictable Variations in Stock Returns Following Large Price Changes.” Journal of Financial and Quantitative Analysis, 30, (1995), pp. 241–256.
- Pritamani, M. and V. Singal. “Return Predictability Following Large Price Changes and Information Releases.” Journal of Banking and Finance, 25, (2001), pp. 631–656.
- Savor, P. G. “Stock Returns After Major Price Shocks: The Impact of Information.” Journal of Financial Economics, 106, (2012), pp. 635–659.
- Sturm, R. R. “Investor Confidence and Returns Following Large One-day Price Changes.” The Journal of Behavioral Finance, 4, (2003), pp. 201–216.