37
American Finance Association Momentum and Reversals in Equity-Index Returns during Periods of Abnormal Turnover and Return Dispersion Author(s): Robert Connolly and Chris Stivers Source: The Journal of Finance, Vol. 58, No. 4 (Aug., 2003), pp. 1521-1555 Published by: Wiley for the American Finance Association Stable URL: http://www.jstor.org/stable/3648220  . Accessed: 15/11/2013 15:06 Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at  . http://www.jstor.org/page/info/about/policies/terms.jsp  . JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact [email protected].  . Wiley and American Finance Ass ociation are collaborating with JSTOR to digitize, preserve and extend access to The Journal of Finance. http://www.jstor.org

Momentum and Reversals in Equity Index Returns During 2003

Embed Size (px)

Citation preview

Page 2: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 2/36

Page 3: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 3/36

Page 4: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 4/36

Page 5: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 5/36

Page 6: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 6/36

Page 7: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 7/36

Page 8: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 8/36

Page 9: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 9/36

Page 10: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 10/36

Page 11: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 11/36

Page 12: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 12/36

Page 13: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 13/36

Page 14: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 14/36

Page 15: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 15/36

Page 16: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 16/36

Page 17: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 17/36

Page 18: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 18/36

Page 19: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 19/36

Page 20: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 20/36

Page 21: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 21/36

Page 22: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 22/36

Page 23: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 23/36

Page 24: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 24/36

Page 25: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 25/36

Page 26: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 26/36

Page 27: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 27/36

Page 28: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 28/36

Page 29: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 29/36

Page 30: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 30/36

Page 31: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 31/36

Page 32: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 32/36

Page 33: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 33/36

Page 34: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 34/36

Page 35: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 35/36

Page 36: Momentum and Reversals in Equity Index Returns During 2003

8/13/2019 Momentum and Reversals in Equity Index Returns During 2003

http://slidepdf.com/reader/full/momentum-and-reversals-in-equity-index-returns-during-2003 36/36