Plastun, AlexSibande, XolaniGupta, RanganWohar, Mark E.2022-07-072022-07-072021-07Plastun, A., Sibande, X., Gupta, R. et al. 2021, 'Evolution of price effects after one-day abnormal returns in the US stock market', The North American Journal of Economics and Finance, vol. 57, art. 101405, pp. 1-11, doi : 10.1016/j.najef.2021.101405.1062-9408 (print)1879-0860 (online)10.1016/j.najef.2021.101405https://repository.up.ac.za/handle/2263/86062This 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).en© 2021 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was submitted for publication in North American Journal of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in North American Journal of Economics and Finance, vol. 57, art. 101405, pp. 1-11, 2021. doi : 10.1016/j.najef.2021.101405.OverreactionMomentum effectContrarian effectAbnormal returnsStock marketDow Jones Industrial Average IndexUnited States (US)Preprint Article