Loss from the chasing of MAX stocks : Evidence from China
We evaluate the implications of the MAX effect in the Chinese financial market. First, the MAX effect prevails in China: A zero-cost MAX strategy, which goes long (short) stocks with the highest (lowest) maximum daily return in the prior month, generates significant losses over the full sample period. Second, further analysis on firm characteristics confirms that the MAX stocks exhibit lottery-like features, and the (negative) performance of the MAX strategy varies over time and is related to investor sentiment. Third, the MAX effect gets weaker after the introduction of short-selling in 2010. Finally, we document that there exists a reversed MAX effect among mutual funds, because a similarly implemented MAX strategy generates significant positive risk-adjusted returns among equity funds in China. Full paper available at https://doi.org/10.1016/j.najef.2021.101475
Year of publication: |
2022
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Authors: | Gao, Ya ; Han, Xing ; Xiong, Xiong |
Publisher: |
[S.l.] : SSRN |
Subject: | China | Aktienmarkt | Stock market | Börsenkurs | Share price |
Description of contents: | Abstract [papers.ssrn.com] |
Saved in:
Extent: | 1 Online-Ressource |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: The North American Journal of Economics and Finance, 58, 101475 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2021 erstellt Volltext nicht verfügbar |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014030982
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