Abstract
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.
Original language | Undefined/Unknown |
---|---|
Pages (from-to) | – |
Number of pages | 13 |
Journal | Emerging Markets Finance and Trade |
DOIs | |
Publication status | Published - 2019 |
MoE publication type | A1 Journal article-refereed |
Keywords
- Extreme return
- max effect
- Turkey