Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1)
Extreme returns and the investor’s expectation for future volatility:
Evidence from the Finnish stock market
Julkaisun tekijät: Syed Riaz Mahmood Ali, Shaker Ahmed, Ralf Östermark
Julkaisuvuosi: 2019
Journal: Quarterly Review of Economics and Finance
DOI: http://dx.doi.org/https://doi.org/10.1016/j.qref.2019.08.009
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 This is an electronic reprint of the original article. |  |
