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Conference Paper: How the 52-week high and low affect beta and volatility

TitleHow the 52-week high and low affect beta and volatility
Authors
Keywords52-week high
52-week low
Prospect theory
Investor attention
Support level
Issue Date2010
Citation
The 8th NTU International Conference on Economics, Finance and Accounting (2010 IEFA), Taiwan, 21-23 June 2010. How to Cite?
AbstractWe provide a new perspective on stock price behavior around 52-week highs and lows. Instead of focusing on noisy measurements of abnormal returns (alpha), our main focus is to analyze whether a stock’s beta, return volatility and option-implied volatility change (i) when stock prices approach their 52-week high or low, and (ii) when stock prices break through these highs or lows. We find that betas and volatilities decrease when approaching a high or low, and that volatilities increase after breakthroughs. The effects are economically large and very significant, and consistent across stock and stock-option markets. Among several explanations for our findings, we find most support for the anchoring theory.
DescriptionAcademic Session 14 - Capital Market and Investment Strategy III
Persistent Identifierhttp://hdl.handle.net/10722/127843

 

DC FieldValueLanguage
dc.contributor.authorDriessen, Jen_HK
dc.contributor.authorLin, TCen_HK
dc.contributor.authorVan Hemert, Oen_HK
dc.date.accessioned2010-10-31T13:49:44Z-
dc.date.available2010-10-31T13:49:44Z-
dc.date.issued2010en_HK
dc.identifier.citationThe 8th NTU International Conference on Economics, Finance and Accounting (2010 IEFA), Taiwan, 21-23 June 2010.en_HK
dc.identifier.urihttp://hdl.handle.net/10722/127843-
dc.descriptionAcademic Session 14 - Capital Market and Investment Strategy III-
dc.description.abstractWe provide a new perspective on stock price behavior around 52-week highs and lows. Instead of focusing on noisy measurements of abnormal returns (alpha), our main focus is to analyze whether a stock’s beta, return volatility and option-implied volatility change (i) when stock prices approach their 52-week high or low, and (ii) when stock prices break through these highs or lows. We find that betas and volatilities decrease when approaching a high or low, and that volatilities increase after breakthroughs. The effects are economically large and very significant, and consistent across stock and stock-option markets. Among several explanations for our findings, we find most support for the anchoring theory.-
dc.languageengen_HK
dc.relation.ispartofNTU International Conference on Economics, Finance and Accounting-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subject52-week high-
dc.subject52-week low-
dc.subjectProspect theory-
dc.subjectInvestor attention-
dc.subjectSupport level-
dc.titleHow the 52-week high and low affect beta and volatilityen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailLin, TC: tsechunlin@hku.hken_HK
dc.identifier.authorityLin, TC=rp01077en_HK
dc.description.naturepostprint-
dc.identifier.hkuros173647en_HK
dc.description.otherThe 8th NTU International Conference on Economics, Finance and Accounting (2010 IEFA), Taiwan, 21-23 June 2010.-

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