Predictability of Extreme Returns in the Turkish Stock Market
Ali, Syed Riaz Mahmood; Ahmed, Shaker; Hasan, Mohammad Nurul; Östermark, Ralf (2021-01-26)
Taylor & Francis
26.01.2021
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe202102104387
https://urn.fi/URN:NBN:fi-fe202102104387
Kuvaus
vertaisarvioitu
©2021 Taylor & Francis. This is an Accepted Manuscript of an article published by Taylor & Francis in Emerging Markets Finance and Trade on 26 Jan 2021, available online: http://www.tandfonline.com/10.1080/1540496X.2019.1591949
©2021 Taylor & Francis. This is an Accepted Manuscript of an article published by Taylor & Francis in Emerging Markets Finance and Trade on 26 Jan 2021, available online: http://www.tandfonline.com/10.1080/1540496X.2019.1591949
Tiivistelmä
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.
Kokoelmat
- Artikkelit [2820]