Extreme returns and the investor's expectation for future volatility: Evidence from the Finnish stock market

被引：5

作者：

Ali, Syed Riaz Mahmood ^{[1
,2
]}

Ahmed, Shaker ^{[3
]}

Ostermark, Ralf ^{[1
]}

机构：

[1] Abo Akad Univ, Fac Social Sci Business & Econ, Asa Vanrikinkatu 3 B, Turku, Finland

[2] North South Univ, Sch Business & Econ, Dhaka, Bangladesh

[3] Univ Vaasa, Sch Accounting & Finance, POB 700, FI-65101 Vaasa, Finland

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2020年 / 76卷

关键词：

MAX effect; Extreme return; Sentiment; CROSS-SECTION; SENTIMENT; LOTTERIES; RISK;

D O I：

10.1016/j.qref.2019.08.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine the significance of extreme positive returns of the previous month (MAX) as a return predictor in the Finnish stock market. We show that high fear months, i.e., months associated with the investor's high expectation for future volatility, are accompanying with low MAX effect implying that investors reluctant to gamble in high MAX stocks when they have high expectation for future volatility. (C) 2019 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

引用

页码：260 / 269

页数：10

共 31 条

[1] Are idiosyncratic volatility and MAX priced in the Canadian market? [J].