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


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

This is an electronic reprint of the original article.
This reprint may differ from the original in pagination and typographic detail. Please cite the original version.




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