We investigate the significance of extreme positive returns (MAX) in the cross-sectional pricing of stocks in South Korea. Our results provide important out-of-sample evidence of a strong negative MAX effect similar to that documented by Bali <italic>et al.</italic> (2011) in the US stock market. For...

Recent studies suggest an increasing trend in return idiosyncratic volatility and a ‘puzzling’ negative relationship between idiosyncratic and total volatility and stock returns. We investigate in an emerging market, the time-series behaviour of total and idiosyncratic volatility and their...