Browsing by Subject Factor-model

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  • BB


  • Authors: Yuan, Shuonan;  Advisor: -;  Participants: Rieger, Marc Oliver; Caliskan, Nilüfer (2019)

  • We examine the role of extreme positive returns in the cross-section of stock returns in seven countries. While Bali et al. (J Financ Econ 99:427–446, 2011) find a significantly negative relation between the maximum daily returns over the past month (MAX) and the expected returns in the following month, we find that this relation disappears and even often reverses. The positive relation is found in Canada, the UK and the US, while the pattern in China is more in line with the previous findings, and for Germany, France and Japan the effect is not statistically significant. Further evidence using the US data suggests that the positive effect of MAXis largely a proxy for the idiosyncratic vo...