Yao, Juan; Partington, Graham; Stevenson, Max - In: Accounting and Finance 45 (2005) 4, pp. 653-671
Survival analysis is used to estimate time-varying probabilities of price reversals using daily data for the Australian All Ordinaries Price Index. Lagged price changes lead to persistence (shortening) in a price run if they are of the same (opposite) sign as the run. An increase in the number...