Does a low-priced share's rebound after a steep one-day fall still appear when measured from the next day's opening price?
Study 32 · Concluded · recorded 2 October 2026 · answer: Not at the size tested · full paper with figures
Correction, 2 October 2026. The text of this record was rewritten to the project's editorial standard, from the study's plan, result and records rather than its earlier wording. What the study found is unchanged.
The question
An earlier study found that such falls partly reversed over the next three sessions, measured from that day's closing price. A closing trade on such a day tends to be at the bid, the price buyers are quoting, so part of that rebound may come from the quote, not from a price change an investor could capture.
Rules fixed before the result
Before any opening-price return was computed, we fixed the earlier study's bar: an average of at least 0.5%, at least twice its standard error (its sampling noise). On all shares and on the smallest third of companies, the rebound survives if it clears the bar, is gone if its 95% upper bound lies below 0.5%, and is otherwise undecided. Gone on all shares, and not surviving among the smallest, reads as not separated from the quote.
Data and method
The outcome is the return from the next session's open to the third session's close, minus the market's return over that span. The events are the earlier study's large one-day falls in shares priced 1.00 to under 10.00 in US currency, less any with no open or a split or payout the next day. All shares are averaged by event day; the smallest third of companies is read event by event, its standard error allowing for same-day events moving together.
The answer
Measured from the next morning's open to the third session's close, after subtracting the market's return, all shares averaged -0.65% (95% interval -1.20% to -0.10%), wholly below zero and under the 0.5% bar set in advance: the rebound was gone, as we expected. The smallest third of companies averaged 0.29% (95% interval -0.46% to 1.04%), an interval reaching both below zero and above the bar: undecided. A rebound there smaller than the bar, or none at all, remains compatible with this result. The rebound sits in the overnight step from close to open, which a quoting effect would produce, but so would a real rebound; this test cannot separate them.
What it changes
No rule or plan changed. The result qualifies the earlier study's finding: measured from the next opening price, the rebound is gone across all shares and undecided among the smallest third of companies, so it is recorded as not separated from an effect of quoted prices.
What remains uncertain
The opening price is a trade at an unknown side of the quote, so without quote data a quoting effect cannot be told from a real rebound. One side check went the other way: including shares under 1.00 in US currency, the open-based rebound cleared the 0.5% bar, averaging 1.28% (95% interval 0.63% to 1.93%). The open-based return is compounded where the earlier study summed daily returns, and only development data through 2022 was used, with that study's construction choices.
How it was made
Run took 24 minutes; independent code review: approve; the recorded calculation reruns to the same result.
Fingerprints
plan f95d7b00683a93d5042af636cb1f79679efc13cd0f06e3268e307c4d21be4181 result 5c341449d6904e9cf4eb12ce8d080683de3ad9b30101a70649621e898e599435
Exploratory work on development data; not a performance claim.