Extreme returns and the investor’s expectation for future volatility : evidence from the Finnish stock market

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dc.contributor.authorAli, Syed Riaz Mahmood
dc.contributor.authorAhmed, Shaker
dc.contributor.authorÖstermark, Ralf
dc.contributor.departmentfi=Ei tutkimusalustaa|en=No platform|-
dc.contributor.facultyfi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance|-
dc.contributor.orcidhttps://orcid.org/0000-0002-2330-7836-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2021-01-28T11:35:00Z
dc.date.accessioned2025-06-25T12:52:51Z
dc.date.available2022-05-01T00:00:28Z
dc.date.issued2020-05-01
dc.description.abstractWe 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 for future volatility, are accompanying with low MAX effect implying that investors reluctant to gamble in high MAX stocks when they have high expectation for future volatility.-
dc.description.notification©2020 Elsevier. This manuscript version is made available under the Creative Commons Attribution–NonCommercial–NoDerivatives 4.0 International (CC BY–NC–ND 4.0) license, https://creativecommons.org/licenses/by-nc-nd/4.0/-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.embargo.lift2022-05-01
dc.embargo.terms2022-05-01
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent10-
dc.format.pagerange260-269-
dc.identifier.olddbid13502
dc.identifier.oldhandle10024/12012
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/1076
dc.identifier.urnURN:NBN:fi-fe202101283105-
dc.language.isoeng-
dc.publisherElsevier-
dc.relation.doi10.1016/j.qref.2019.08.009-
dc.relation.ispartofjournalQuarterly Review of Economics and Finance-
dc.relation.issn1878-4259-
dc.relation.issn1062-9769-
dc.relation.urlhttps://doi.org/10.1016/j.qref.2019.08.009-
dc.relation.volume76-
dc.rightsCC BY-NC-ND 4.0-
dc.source.identifierWOS: 000538816500022-
dc.source.identifierScopus: 85073922322-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/12012
dc.subjectMAXeffect-
dc.subjectExtreme return-
dc.subjectSentiment-
dc.subject.disciplinefi=Laskentatoimi ja rahoitus|en=Accounting and Finance|-
dc.titleExtreme returns and the investor’s expectation for future volatility : evidence from the Finnish stock market-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionacceptedVersion-

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