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Primary Article

Intraday Drifts

Christopher K. Ma, James E. Mallett, R. Daniel Pace and William T Chittenden
The Journal of Investing Summer 1999, 8 (2) 86-97; DOI: https://doi.org/10.3905/joi.1999.319410
Christopher K. Ma
A principal at KCM Asset Management Group, Inc., and Roland and Sarah George professor of applied investments at Stetson University.
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James E. Mallett
Professor of finance at Stetson University.
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R. Daniel Pace
Associate professor of Finance at West Florida University.
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William T Chittenden
Assistant professor of finance at Northern Illinois University.
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Abstract

Equity prices often reverse themselves immediately following large price drops within the same day, but drifting farther upward after large price increases. The significant positive returns (reversals or drifts) do not appear to be quote-driven or an artifact of specialists' market-making behavior, nor can they be explained by an increase in the rise of the stocks. Additionally, the fact that trading lessens significantly after initial large price changes is inconsistent with the increased trading triggered by technical rules. The evidence in this article indicates that investors require a risk premium for the uncertainty of new information arrival. Stocks typically associated with poor quality of information (such as value stocks, low-priced stocks, small stocks, trending stocks, and volatile stocks) exhibit a stronger tendency to produce successive positive returns after an initial price shock.

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Intraday Drifts
Christopher K. Ma, James E. Mallett, R. Daniel Pace, William T Chittenden
The Journal of Investing May 1999, 8 (2) 86-97; DOI: 10.3905/joi.1999.319410

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Intraday Drifts
Christopher K. Ma, James E. Mallett, R. Daniel Pace, William T Chittenden
The Journal of Investing May 1999, 8 (2) 86-97; DOI: 10.3905/joi.1999.319410
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