Year-end Sale % OFF 
Abstract
This study examines the behavior of stock prices following large price changes. It also examines the presence of disposition prone investors and effect of size on stock returns. The study uses daily prices data from Pakistan Stock Exchange (Formerly, Karachi Stock Exchange (KSE)) for the period of January 2001 to July 2012. Our findings suggest that winners perform better than losers after experiencing large price shocks thus showing a momentum behavior. This also suggests that most of the investors in KSE behave rationally and we do not find any evidence of disposition effect in KSE. Further, pooled regression estimates show that size is positively related to post-event abnormal returns. The fixed effect model shows the presence of unobservable firm-specific and time specific effects that account for price continuation.
Highlights
Summary
Sign-in/Register to view highlights & summary 
Published Version (
Free)
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
