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Are extreme returns priced in the stock market? European evidence

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  1. Muhammad Kashif & Thomas Leirvik, 2022. "The MAX Effect in an Oil Exporting Country: The Case of Norway," JRFM, MDPI, vol. 15(4), pages 1-16, March.
  2. Zi-Mei Wang & Donald Lien, 2022. "Is maximum daily return a lottery? Evidence from monthly revenue announcements," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 545-600, August.
  3. Ozkan Haykir, 2018. "Does MAX Anomaly Exist in Emerging Market: Evidence from the Turkish Stock Market?," International Journal of Economics and Financial Issues, Econjournals, vol. 8(2), pages 148-153.
  4. Abourachid, Halim & Kubo, Alexander & Orbach, Sven, 2017. "Momentum strategies in European equity markets: Perspectives on the recent financial and European debt crises," Finance Research Letters, Elsevier, vol. 23(C), pages 147-151.
  5. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  6. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  7. Lu, Jing & Ran, Rong & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2025. "Asset pricing when social preference meets lottery preference: Evidence from China," Research in International Business and Finance, Elsevier, vol. 73(PA).
  8. Li, Yi & Urquhart, Andrew & Wang, Pengfei & Zhang, Wei, 2021. "MAX momentum in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 77(C).
  9. Bradrania, Reza & Gao, Ya, 2024. "Lottery demand, weather and the cross-section of stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
  10. Baars, Maren & Mohrschladt, Hannes, 2021. "An alternative behavioral explanation for the MAX effect," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 868-886.
  11. Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
  12. Long, Huaigang & Chiah, Mardy & Cakici, Nusret & Zaremba, Adam & Bilgin, Mehmet Huseyin, 2024. "ESG investing in good and bad times: An international study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  13. Faias, José Afonso, 2023. "Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation," Journal of Financial Markets, Elsevier, vol. 63(C).
  14. Hsin, Chin-Wen & Peng, Shu-Cing, 2023. "Investor propensity to speculate and price delay in emerging markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  15. Gan, Christopher & Nartea, Gilbert V. & Wu, Ji (George), 2018. "Predictive ability of low-frequency volatility measures: Evidence from the Hong Kong stock markets," Finance Research Letters, Elsevier, vol. 26(C), pages 40-46.
  16. Zhao, Xiaojuan & Wang, Ye & Liu, Weiyi, 2024. "Someone like you: Lottery-like preference and the cross-section of expected returns in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  17. Nguyen, Hung T. & Truong, Cameron, 2018. "When are extreme daily returns not lottery? At earnings announcements!," Journal of Financial Markets, Elsevier, vol. 41(C), pages 92-116.
  18. Ayadi, Mohamed A. & Cao, Xu & Lazrak, Skander & Wang, Yan, 2019. "Do idiosyncratic skewness and kurtosis really matter?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  19. Ali, Syed Riaz Mahmood & Hasan, Mohammad Nurul & Östermark, Ralf, 2020. "Are idiosyncratic risk and extreme positive return priced in the Indian equity market?," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 530-545.
  20. Auer, Benjamin R. & Rottmann, Horst, 2019. "Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?," Journal of Economics and Business, Elsevier, vol. 103(C), pages 61-79.
  21. Cheon, Yong-Ho & Lee, Kuan-Hui, 2018. "Time variation of MAX-premium with market volatility: Evidence from Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 32-46.
  22. Butt, Hilal Anwar & Demirer, Riza & Sadaqat, Mohsin & Suleman, Muhammad Tahir, 2022. "Do emerging stock markets offer an illiquidity premium for local or global investors?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 502-515.
  23. Nartea, Gilbert V. & Kong, Dongmin & Wu, Ji, 2017. "Do extreme returns matter in emerging markets? Evidence from the Chinese stock market," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 189-197.
  24. Lin, Mei-Chen, 2023. "Time-varying MAX preference: Evidence from revenue announcements," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  25. Chan, Yue-Cheong & Chui, Andy C.W., 2016. "Gambling in the Hong Kong stock market," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 204-218.
  26. Berggrun, Luis & Cardona, Emilio & Lizarzaburu, Edmundo, 2019. "Extreme daily returns and the cross-section of expected returns: Evidence from Brazil," Journal of Business Research, Elsevier, vol. 102(C), pages 201-211.
  27. Bi, Jia & Gui, Pingshu & Zhu, Yifeng, 2022. "Large transactions and the MAX effect: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
  28. Annaert, Jan & De Ceuster, Marc & Van Cappellen, Jef, 2023. "Can average skewness really predict financial returns? The euro area case," Finance Research Letters, Elsevier, vol. 52(C).
  29. Xiaozhen Jing & Dezhong Xu & Bin Li & Tarlok Singh, 2024. "Does the U.S. extreme indicator matter in stock markets? International evidence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-27, December.
  30. Wang, Lu & Ma, Feng & Liu, Jing & Yang, Lin, 2020. "Forecasting stock price volatility: New evidence from the GARCH-MIDAS model," International Journal of Forecasting, Elsevier, vol. 36(2), pages 684-694.
  31. Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
  32. Vandenbruaene, Jonas & De Ceuster, Marc & Annaert, Jan, 2023. "Does time series momentum also exist outside traditional financial markets? Near-laboratory evidence from sports betting," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 104(C).
  33. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, January.
  34. Asgar Ali & K. N. Badhani, 2023. "Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?," Empirical Economics, Springer, vol. 65(2), pages 775-804, August.
  35. Ali, Syed Riaz Mahmood & Rahman, M Arifur & Hasan, Mohammad Nurul & Östermark, Ralf, 2020. "Positive IVOL-MAX effect: A study on the Singapore Stock Market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  36. Gao, Ya & Bradrania, Reza, 2024. "Property crime and lottery-related anomalies," Global Finance Journal, Elsevier, vol. 59(C).
  37. Caglayan, Mustafa O. & Lawrence, Edward & Reyes-Peña, Robinson, 2023. "Hot potatoes: Underpricing of stocks following extreme negative returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
  38. Fan, Ruixin & Xiong, Xiong & Gao, Ya, 2021. "Can the probability of extreme returns be the basis for profitable portfolios? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 76(C).
  39. Baars, Maren & Mohrschladt, Hannes, 2024. "Preferences for maximum daily returns," Journal of Economic Behavior & Organization, Elsevier, vol. 220(C), pages 343-353.
  40. Doina C. Chichernea & Haimanot Kassa & Steve L. Slezak, 2019. "Lottery preferences and the idiosyncratic volatility puzzle," European Financial Management, European Financial Management Association, vol. 25(3), pages 655-683, June.
  41. Christian Fieberg & Daniel Metko & Thorsten Poddig & Thomas Loy, 2023. "Machine learning techniques for cross-sectional equity returns’ prediction," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(1), pages 289-323, March.
  42. Wan, Xiaoyuan, 2018. "Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 1-15.
  43. Turan G. Bali & Quan Wen, 2023. "Lottery demand, lottery factor, and anomalies," Review of Financial Economics, John Wiley & Sons, vol. 41(4), pages 392-407, October.
  44. Seif, Mostafa & Docherty, Paul & Shamsuddin, Abul, 2018. "Limits to arbitrage and the MAX anomaly in advanced emerging markets," Emerging Markets Review, Elsevier, vol. 36(C), pages 95-109.
  45. Benjamin R. Auer, 2019. "Does the strength of capital market anomalies exhibit seasonal patterns?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 91-103, January.
  46. Yao, Shouyu & Wang, Chunfeng & Fang, Zhenming & Chiao, Chaoshin, 2021. "MAX is not the max under the interference of daily price limits: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 348-369.
  47. Zhang, Xindong & Xie, Lixu & Zhai, Yue & Wang, Dong, 2018. "Can microstructure noise explain the MAX effect?," Finance Research Letters, Elsevier, vol. 26(C), pages 185-191.
  48. Shuonan Yuan & Marc Oliver Rieger & Nilüfer Caliskan, 2020. "Maxing out: the puzzling influence of past maximum returns on future asset prices in a cross-country analysis," Management Review Quarterly, Springer, vol. 70(4), pages 567-589, November.
  49. Yong-Ho Cheon & Kuan-Hui Lee, 2018. "Maxing Out Globally: Individualism, Investor Attention, and the Cross Section of Expected Stock Returns," Management Science, INFORMS, vol. 64(12), pages 5807-5831, December.
  50. Ştefan Cristian Gherghina & Durmuş Yıldırım & Mesut Dogan, 2025. "Harnessing the Power of Past Triumphs: Unleashing the MAX Effect’s Potential in Emerging Market Returns," IJFS, MDPI, vol. 13(3), pages 1-23, July.
  51. Andreas Oehler & Julian Schneider, 2022. "Gambling with lottery stocks?," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 477-503, October.
  52. Ali, Syed Riaz Mahmood & Ahmed, Shaker & Östermark, Ralf, 2020. "Extreme returns and the investor’s expectation for future volatility: Evidence from the Finnish stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 260-269.
  53. Hai, Hoang Van & Park, Jong Won & Tsai, Ping-Chen & Eom, Cheoljun, 2020. "Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  54. Barinov, Alexander, 2018. "Stocks with extreme past returns: Lotteries or insurance?," Journal of Financial Economics, Elsevier, vol. 129(3), pages 458-478.
  55. Hannah Lea Hühn & Hendrik Scholz, 2019. "Reversal and momentum patterns in weekly stock returns: European evidence," Review of Financial Economics, John Wiley & Sons, vol. 37(2), pages 272-296, April.
  56. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Factors and Asset Prices," Papers 2208.14267, arXiv.org, revised Mar 2026.
  57. Anh Duc Nguyen, 2020. "Residual return reversals: European evidences," Post-Print hal-02493457, HAL.
  58. Huang, Shuyang & Zeng, Ming, 2022. "Political sentiment and MAX effect," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  59. Zhu, Zhaobo & Harrison, DavidM. & Seiler, MichaelJ., 2020. "Preference for lottery features in real estate investment trusts," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 599-613.
  60. Gao, Ya & Han, Xing & Xiong, Xiong, 2021. "Loss from the chasing of MAX stocks: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  61. Annaert, Jan & De Ceuster, Marc & Van Doninck, Freek, 2022. "Decomposing the idiosyncratic volatility anomaly among euro area stocks," Finance Research Letters, Elsevier, vol. 47(PB).
  62. Aboulamer, Anas & Kryzanowski, Lawrence, 2016. "Are idiosyncratic volatility and MAX priced in the Canadian market?," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 20-36.
  63. Stefan Muhl & Marc Oliver Rieger & Hung Ling Chen, 2020. "Sign Matters: Stock Movement Based Trading Decisions of Private Investors," Working Paper Series 2020-01, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  64. Hanauer, Matthias X. & Windmüller, Steffen, 2023. "Enhanced momentum strategies," Journal of Banking & Finance, Elsevier, vol. 148(C).
  65. Neszveda, Gábor & Vágó, Ákos, 2021. "A likviditásnyújtás kereskedési stratégiájának hozamvizsgálata a magyar részvénypiacon [Examining trade-strategy results of liquidity provision on the Hungarian stock market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 794-814.
  66. Melisa Ozdamar & Levent Akdeniz & Ahmet Sensoy, 2021. "Lottery-like preferences and the MAX effect in the cryptocurrency market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
  67. Nguyen, Anh Duy, 2019. "Residual return reversals: European evidence," Research in International Business and Finance, Elsevier, vol. 50(C), pages 392-397.
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