This paper provides a comprehensive analysis of price effects after one-day abnormal returns and their evolution in the US stock market, using Dow Jones Index over the period 1890–2018. We utilise several statistical tests and econometric methods (the modified cumulative abnormal return approach, regression analysis with dummy variables, R/S analysis (Hurst, 1951), and the trading simulation approach). The results suggest that a strong momentum effect between 1940 and 1980 after a day of positive abnormal returns was present in the US stock market, and it was exploitable for profit. However, after the 1980s this has since disappeared. Overall, price effects after one-day abnormal returns during the analysed period tend to be unstable in terms of their strength and direction (momentum or contrarian effect). Nowadays, the evidence for the price effects after one-day abnormal returns in the US stock market is weak. Our results, therefore, are consistent with the Adaptive Market Hypothesis (Lo, 2004).

中文翻译：

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美国股市一日异常收益后价格效应的演变


本文利用 1890 年至 2018 年期间的道琼斯指数，对美国股市一日异常收益后的价格效应及其演变进行了全面分析。我们利用多种统计检验和计量经济学方法（修正的累积异常收益法、虚拟变量回归分析、R/S 分析（Hurst，1951）和交易模拟法）。结果表明，1940年至1980年间，美国股市在一天的异常正收益之后出现了强大的动量效应，并且可以利用它来获利。然而，20世纪80年代之后，这种现象就消失了。总体而言，分析期间一日异常收益后的价格效应在强度和方向（动量或逆势效应）方面往往不稳定。目前，美国股市一日异常收益对价格影响的证据还很薄弱。因此，我们的结果与适应性市场假说（Lo，2004）一致。