Search Results - subject:"MAX effect"

Baars, Maren; Mohrschladt, Hannes - In: Journal of economic behavior & organization 220 (2024), pp. 343-353

Persistent link: https://www.econbiz.de/10014552906

The role of arbitrage risk in the MAX effect : evidence from the Korean stock market

Goh, Jihoon; Kim, Donghoon - In: Journal of derivatives and quantitative studies 32 (2024) 2, pp. 159-180

In this study, we investigate what drives the MAX effect in the South Korean stock market. We find that the MAX effect …

Persistent link: https://www.econbiz.de/10015055029

MAX, lottery-type stocks, and the cross-section of stock returns: Evidence from the Chinese stock market

In: Cogent Economics & Finance 11 (2023) 1, pp. 1-33

Chinese market. Moreover, the MAX effect as a proxy for lottery stock is not strongly exhibited as the lottery behavior in the …

Persistent link: https://www.econbiz.de/10015074754

MAX, lottery-type stocks, and the cross-section of stock returns : evidence from the Chinese stock market

Hoang Van Hai - In: Cogent economics & finance 11 (2023) 1, pp. 1-33

Chinese market. Moreover, the MAX effect as a proxy for lottery stock is not strongly exhibited as the lottery behavior in the …

Persistent link: https://www.econbiz.de/10014500653

The MAX effect in an oil exporting country: The case of Norway

Kashif, Muhammad; Leirvik, Thomas - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-16

decades, masks the effect to a large extent. Conditional regressions show that the MAX effect is only significant in the …

Persistent link: https://www.econbiz.de/10013201457

The MAX effect in an oil exporting country : the case of Norway

Kashif, Muhammad; Leirvik, Thomas - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-16

decades, masks the effect to a large extent. Conditional regressions show that the MAX effect is only significant in the …

Persistent link: https://www.econbiz.de/10013168849

ETF MAX and MIN effects

Gould, John; Sun, Zhiyue; Yang, Wenling - In: Finance research letters 60 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014490196

Lottery stocks in the UK : evidence, characteristics and cause

Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: International journal of banking, accounting and … 14 (2024) 1, pp. 58-96

Persistent link: https://www.econbiz.de/10015057209

Lottery-like preferences and the MAX effect in the cryptocurrency market

Ozdamar, Melisa; Akdeniz, Levent; Sensoy, Ahmet - In: Financial innovation : FIN 7 (2021), pp. 1-27

We investigate the significance of extreme positive returns in the cross-sectional pricing of cryptocurrencies. Through portfolio-level analyses and weekly cross-sectional regressions on all cryptocurrencies in our sample period, we provide evidence for a positive and statistically significant...

Persistent link: https://www.econbiz.de/10012705414

Salience theory and mutual fund flows : empirical evidence from China

Hu, Shiyang; Xiang, Cheng; Quan, Xiaofeng - In: Emerging markets review 54 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014336717