کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7360537 | 1478821 | 2018 | 50 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle”
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle” The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle”](/preview/png/7360537.png)
چکیده انگلیسی
We form indexes of overpriced and underpriced stocks by ranking stocks based on the disposition effect and anchoring bias. We document the negative relation between maximum daily return and future returns (MAX effect) is confined to overpriced stocks which make up about half the entire sample. We find that the average cross-sectional correlation between maximum daily return and idiosyncratic volatility is nearly 90%. Consistent with prior studies the idiosyncratic volatility puzzle disappears after controlling for the MAX effect. However, when using a sample with a $5 price breakpoint and controlling for overpriced stocks the idiosyncratic volatility puzzle and the MAX effect are economically and statistically significant.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 47, June 2018, Pages 229-245
Journal: Journal of Empirical Finance - Volume 47, June 2018, Pages 229-245
نویسندگان
Jared Egginton, Jungshik Hur,