A1 Journal article – refereed

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





List of Authors: Syed Riaz Mahmood Ali, Shaker Ahmed, Ralf Östermark

Publication year: 2019

Journal: Quarterly Review of Economics and Finance

DOI: http://dx.doi.org/https://doi.org/10.1016/j.qref.2019.08.009


Abstract

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.


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Last updated on 2021-24-06 at 10:43