"Östermark, Ralf" - Selaus tekijän mukaanArtikkelit
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Extreme returns and the investor’s expectation for future volatility : evidence from the Finnish stock market
(Elsevier, 01.05.2020)
articleWe 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 ... -
Predictability of Extreme Returns in the Turkish Stock Market
(Taylor & Francis, 26.01.2021)
articleIn 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 ...
