Extreme returns and the investor’s expectation for future volatility: Evidence from the Finnish stock market
Ralf Östermark; Syed Riaz Mahmood Ali; Shaker Ahmed
Extreme returns and the investor’s expectation for future volatility:
Evidence from the Finnish stock market
Ralf Östermark
Syed Riaz Mahmood Ali
Shaker Ahmed
Julkaisun pysyvä osoite on:
https://urn.fi/URN:NBN:fi-fe2021042822648
https://urn.fi/URN:NBN:fi-fe2021042822648
Tiivistelmä
We 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.
Kokoelmat
- Rinnakkaistallenteet [19207]