Predictability of Extreme Returns in the Turkish Stock Market

A1 Originalartikel i en vetenskaplig tidskrift (referentgranskad)


Interna författare/redaktörer


Publikationens författare: Ali SRM, Ahmed S, Hasan MN, Östermark R
Förläggare: ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Publiceringsår: 2019
Tidskrift: Emerging Markets Finance and Trade
Tidskriftsakronym: EMERG MARK FINANC TR
Antal sidor: 13
ISSN: 1540-496X


Abstrakt

In this paper, we show that extreme returns can predict future returns in the Turkish stock market. We find that extreme return (high MAX) generating stocks show a lower performance in the next month in this market. More explicitly, there is a strong negative relationship between the firm's maximum (MAX) daily returns over the previous month and its succeeding stock returns. Our results are robust in both firm-level cross-sectional, and portfolio-level analysis.


Nyckelord

Extreme return, max effect, Turkey

Senast uppdaterad 2020-08-04 vid 04:59