Predictability of Extreme Returns in the Turkish Stock Market
Osuva_Ali_Ahmed_Hasan_Östermark_2021.pdf - Hyväksytty kirjoittajan käsikirjoitus - 589.61 KB
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©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
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.
Emojulkaisu
ISBN
ISSN
1558-0938
1540-496X
1540-496X
Aihealue
Kausijulkaisu
Emerging Markets Finance and Trade|57
OKM-julkaisutyyppi
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä