Refereed journal article or data article (A1)

Predictability of Extreme Returns in the Turkish Stock Market

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

Publication year: 2019

Journal: Emerging Markets Finance and Trade



In this paper, we show that extreme returns can predict future returns in the Turkish
stock market. We find that extreme return (high MAX) generating stocks show a
lower performance in the next month in this market. More explicitly, there is a
strong negative relationship between the firm’s maximum (MAX) daily returns
over the previous month and its succeeding stock returns. Our results are robust in
both firm-level cross-sectional, and portfolio-level analysis.

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Last updated on 2021-24-06 at 12:16