TY  - JOUR
T1  - The MAX Effect: Lottery Stocks with Price Limits and Limits to Arbitrage
JF  - Journal of Financial Markets
Y1  - 2018
A1  - Hung,Weifeng
A1  - Yang,Jimmy
KW  - Finance
AB  - We 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.
VL  - 41
U2  - a
U4  - 162670010368
ID  - 162670010368
ER  -