{"id":"https://openalex.org/W2036032044","doi":"https://doi.org/10.1006/jfin.1995.1006","title":"Short-Horizon Return Reversals and the Bid-Ask Spread","display_name":"Short-Horizon Return Reversals and the Bid-Ask Spread","publication_year":1995,"publication_date":"1995-04-01","ids":{"openalex":"https://openalex.org/W2036032044","doi":"https://doi.org/10.1006/jfin.1995.1006","mag":"2036032044"},"language":"en","primary_location":{"id":"doi:10.1006/jfin.1995.1006","doi":"https://doi.org/10.1006/jfin.1995.1006","is_oa":false,"landing_page_url":"https://doi.org/10.1006/jfin.1995.1006","pdf_url":null,"source":{"id":"https://openalex.org/S5984737","display_name":"Journal of Financial Intermediation","issn_l":"1042-9573","issn":["1042-9573","1096-0473"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Intermediation","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5074911203","display_name":"Narasimhan Jegadeesh","orcid":"https://orcid.org/0009-0003-1552-1650","observed_orcids":["https://orcid.org/0009-0003-1552-1650"]},"institutions":[{"id":"https://openalex.org/I103531236","display_name":"Boston College","ror":"https://ror.org/02n2fzt79","country_code":"US","type":"education","lineage":["https://openalex.org/I103531236"]},{"id":"https://openalex.org/I157725225","display_name":"University of Illinois Urbana-Champaign","ror":"https://ror.org/047426m28","country_code":"US","type":"education","lineage":["https://openalex.org/I157725225"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jegadeesh N.","raw_affiliation_strings":["College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, Illinois 61820; Department of Finance, Boston College, Chestnut Hill, Massachusetts 02167","College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, Illinois 61820","Department of Finance, Boston College, Chestnut Hill, Massachusetts 02167"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, Illinois 61820; Department of Finance, Boston College, Chestnut Hill, Massachusetts 02167","institution_ids":["https://openalex.org/I103531236","https://openalex.org/I157725225"]},{"raw_affiliation_string":"College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, Illinois 61820","institution_ids":["https://openalex.org/I157725225"]},{"raw_affiliation_string":"Department of Finance, Boston College, Chestnut Hill, Massachusetts 02167","institution_ids":["https://openalex.org/I103531236"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5011644728","display_name":"Sheridan D. Titman","orcid":"https://orcid.org/0000-0002-0935-7394","observed_orcids":["https://orcid.org/0000-0002-0935-7394"]},"institutions":[{"id":"https://openalex.org/I103531236","display_name":"Boston College","ror":"https://ror.org/02n2fzt79","country_code":"US","type":"education","lineage":["https://openalex.org/I103531236"]},{"id":"https://openalex.org/I157725225","display_name":"University of Illinois Urbana-Champaign","ror":"https://ror.org/047426m28","country_code":"US","type":"education","lineage":["https://openalex.org/I157725225"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Titman S.","raw_affiliation_strings":["College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, Illinois 61820; Department of Finance, Boston College, Chestnut Hill, Massachusetts 02167","College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, Illinois 61820","Department of Finance, Boston College, Chestnut Hill, Massachusetts 02167"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, Illinois 61820; Department of Finance, Boston College, Chestnut Hill, Massachusetts 02167","institution_ids":["https://openalex.org/I103531236","https://openalex.org/I157725225"]},{"raw_affiliation_string":"College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Champaign, Illinois 61820","institution_ids":["https://openalex.org/I157725225"]},{"raw_affiliation_string":"Department of Finance, Boston College, Chestnut Hill, Massachusetts 02167","institution_ids":["https://openalex.org/I103531236"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3960,"currency":"USD","value_usd":3960},"apc_paid":null,"fwci":4.9924,"has_fulltext":false,"cited_by_count":232,"citation_normalized_percentile":{"value":0.94761365,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":98,"max":100},"biblio":{"volume":"4","issue":"2","first_page":"116","last_page":"132"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/return-reversal","display_name":"return reversal","score":0.9079999923706055},{"id":"https://openalex.org/keywords/bid-ask-spread","display_name":"bid-ask spread","score":0.9380000233650208},{"id":"https://openalex.org/keywords/dealer-inventory","display_name":"dealer inventory","score":0.8209999799728394},{"id":"https://openalex.org/keywords/market-microstructure","display_name":"market microstructure","score":0.796999990940094}],"concepts":[{"id":"https://openalex.org/C159176650","wikidata":"https://www.wikidata.org/wiki/Q43261","display_name":"Horizon","level":2,"score":0.6869503259658813},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6566539406776428},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.636815071105957},{"id":"https://openalex.org/C51926234","wikidata":"https://www.wikidata.org/wiki/Q3312426","display_name":"Market microstructure","level":3,"score":0.5620215535163879},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5495485663414001},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5113046169281006},{"id":"https://openalex.org/C2991665230","wikidata":"https://www.wikidata.org/wiki/Q2651003","display_name":"Excess return","level":3,"score":0.44304004311561584},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.4361909031867981},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.18396511673927307},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.1439874768257141},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.1318020224571228},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.08734002709388733},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.07070684432983398},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1006/jfin.1995.1006","doi":"https://doi.org/10.1006/jfin.1995.1006","is_oa":false,"landing_page_url":"https://doi.org/10.1006/jfin.1995.1006","pdf_url":null,"source":{"id":"https://openalex.org/S5984737","display_name":"Journal of Financial Intermediation","issn_l":"1042-9573","issn":["1042-9573","1096-0473"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Intermediation","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:jfinin:v:4:y:1995:i:2:p:116-132","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1042-9573(85)71006-6","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W1521734737","https://openalex.org/W1602154996","https://openalex.org/W3122279203","https://openalex.org/W4390965166","https://openalex.org/W4256050578","https://openalex.org/W7097594985","https://openalex.org/W2127771525","https://openalex.org/W2805091151","https://openalex.org/W1555105500","https://openalex.org/W4410107297"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":5},{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":8},{"year":2022,"cited_by_count":11},{"year":2021,"cited_by_count":10},{"year":2020,"cited_by_count":11},{"year":2019,"cited_by_count":10},{"year":2018,"cited_by_count":11},{"year":2017,"cited_by_count":12},{"year":2016,"cited_by_count":10},{"year":2015,"cited_by_count":7},{"year":2014,"cited_by_count":13},{"year":2013,"cited_by_count":9},{"year":2012,"cited_by_count":16}],"updated_date":"2026-10-28T10:33:24.094632","created_date":"2016-06-24T00:00:00"}