A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä

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





TekijätSyed Riaz Mahmood Ali, Shaker Ahmed, Ralf Östermark

Julkaisuvuosi2019

JournalQuarterly Review of Economics and Finance

DOIhttps://doi.org/https://doi.org/10.1016/j.qref.2019.08.009


Tiivistelmä

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.


Ladattava julkaisu

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Last updated on 2024-26-11 at 12:24