Among a day's biggest fallers, do shares that closed at their lowest price of the past year rank lower the next day?
Study 90 · No reading (stopped by its own checks) · recorded 7 November 2026 · answer: Not settled · full paper with figures
The question
Among the day's biggest fallers priced at five or more in US currency with a usable next day, does the next day's return rank lower for those closing at or below a year's low than for the others? Ranks are within fallers at a similar multiple of usual volume, in 2018 to 2022, against a rank gap of one percentile.
Rules fixed before the result
Fixed before any outcome: the deciding measure and its size of one percentile; a session counted only when five or more of the day's biggest fallers closed at a year's low, with eight as the fallback; and a power check on the number of such sessions in the later years, from prices alone and the earlier years' share, before any return was formed. If neither threshold left enough sessions to detect a gap of that size, the study stopped.
Data and method
Each session we took the fifth of shares falling most against the market fund, adjusted the next day's return by a straight-line fit for the day's fall and the close's place in its range, and ranked it among fallers at a similar multiple of their usual volume. The measure was the other fallers' average rank less that of those closing at a year's low. The plan rebuilt it on 2014 to 2017 and checked its false-alarm rate by resampling.
The answer
Not settled: the study stopped at its planned checks, before computing any return in 2018 to 2022, so nothing is shown for those years in either direction. The test counted only sessions on which at least five of the day's biggest fallers closed at a year's low, with eight as the fallback. The power check fixed in advance needed enough such sessions to detect a gap of one percentile in the next day's ranking. Counted from prices alone, before any return was formed, the later years had too few sessions with five such fallers, and the number projected at eight from the earlier years' share also fell short, so by the rule fixed in advance the test was not opened. No comparison is made with an earlier study's same measure for the biggest risers that closed at a year's high.
What it changes
No plan changed. Under the rule fixed in advance for a stop, the research programme returns to its list of planned tests and the next choice of study weighs the evidence on the biggest fallers afresh; a second stop of this same design would close the programme's test of the low-side condition.
What remains uncertain
No return after 2017 was measured, so neither a gap nor its absence is shown for 2018 to 2022. Those years were used by earlier studies of these shares, so even a measured answer would have been a check within our development data, not a test on fresh data. Daily prices also cannot tell news from selling pressure, so a measured gap would not have named its source.