Walkshaeusl, Christian (2014) The MAX effect: European evidence. JOURNAL OF BANKING & FINANCE, 42. pp. 1-10. ISSN 0378-4266, 1872-6372
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The maximum daily return over the previous month (MAX) of Bali et al. (2011) is a strong and significant predictor of future stock returns in non-U.S. equity markets. Once it is controlled for MAX in the cross-section of average returns, the puzzling negative idiosyncratic volatility-return relation disappears. Consistent with the assumption that MAX is the true effect, for which idiosyncratic volatility is just a proxy, we find that MAX can be traced back to firm fundamentals in the manner of idiosyncratic volatility. The negative MAX-return relation is stronger among firms with high cash flow volatility and weaker among firms with high profitability. (C) 2014 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | EXPECTED STOCK-RETURNS; CROSS-SECTION; INDIVIDUAL STOCKS; MARKET; VOLATILITY; MOMENTUM; SIZE; RISK; PROFITABILITY; SEASONALITY; Maximum daily return; Cross-sectional return predictability; International markets; Idiosyncratic volatility; Cash flow volatility; Profitability |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 13 Nov 2019 13:55 |
| Last Modified: | 13 Nov 2019 13:55 |
| URI: | https://pred.uni-regensburg.de/id/eprint/10277 |
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