01022nas a2200157   4500008004100000245007700041210006900118260000900187300001000196490000700206520050100213653001200714100001800726700001600744856010400760       2018                        eng d00aThe MAX Effect: Lottery Stocks with Price Limits and Limits to Arbitrage0 aMAX Effect Lottery Stocks with Price Limits and Limits to Arbitr  c2018  a77-910 v413 aWe modify the Bali et al.’s (2011) MAX measure (maximum daily return over the prior month) when the observed returns are capped at the daily price limit to address the issue of homogeneous MAX across stocks. Our results indicate that the modified MAX measure can be a significant predictor of future stock returns. The modified MAX effect is not a manifestation of the idiosyncratic volatility effect. We also find that the modified MAX measure could be an alternative proxy for arbitrage risk.10aFinance1 aHung, Weifeng1 aYang, Jimmy  u/biblio/max-effect-lottery-stocks-price-limits-and-limits-arbitrage