Ammann, Manuel; Kessler, Stephan Markus - In: Applied Financial Economics 19 (2009) 15, pp. 1239-1255
This article presents the first detailed analysis of the intraday characteristics of idiosyncratic stock price crashes. The analysis focuses on the impact of large crashes in single stocks on their intraday returns and liquidity in the US market. Furthermore, optimal intradaily behaviour during...