Do Past Extreme Returns Explain the Future Performance? MAX Effect Evidence from the Nordic Countries

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Önal, Bunyamin
dc.contributor.author Kokljuschkin, Anton
dc.date.accessioned 2017-08-17T08:18:44Z
dc.date.available 2017-08-17T08:18:44Z
dc.date.issued 2016
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/27652
dc.description.abstract I examine MAX effect, i.e. negative relation between high maximum daily returns in the past month and returns in the next month, in the Nordics. Bali et. al. (2011) first find the MAX effect in U.S.A. I examine the MAX effect in the Nordics because of lack of evidence in the Nordics and the Aboulamer et. al (2016) recent contradictory finding in Canada. I confirm the previous results about MAX effect. I find negative cross-sectional relation between high maximum returns in past month and returns in the next month after controlling for variables: beta, size, book-to-market ratio, momentum, short term reversal and illiquidity. My results are also robust for idiosyncratic volatility puzzle i.e. negative relation between high idiosyncratic volatility and returns introduced by Ang et. al (2009), in fact the idiosyncratic volatility puzzle seems to overturn to positive effect after controlling MAX. The effect is consistent with investors preference for lottery-like stocks which lead to over-demand, higher prices and lower expected returns for high MAX stocks. en
dc.format.extent 27
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Do Past Extreme Returns Explain the Future Performance? MAX Effect Evidence from the Nordic Countries en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword MAX effect en
dc.subject.keyword extreme returns en
dc.subject.keyword asset pricing en
dc.subject.keyword lottery-like stocks en
dc.identifier.urn URN:NBN:fi:aalto-201708176556
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme Rahoitus fi


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