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Asymmetric visibility of extreme past returns

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  • Bank, Matthias

Abstract

I use the maximum and minimum daily return of a stock in one month, as introduced by Bali et al. (2011), as a measure of the relative visibility of a stock. I argue that stocks that are essentially visible only as losers (winners) will have abnormally high (low) subsequent returns. My results are based on a sample of large US stocks (S&P 500 sample) and show that only asymmetric combinations of visibility produce statistically and economically significant excess returns.

Suggested Citation

  • Bank, Matthias, 2025. "Asymmetric visibility of extreme past returns," Finance Research Letters, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325008281
    DOI: 10.1016/j.frl.2025.107569
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    References listed on IDEAS

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