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Cross‐Section of Expected Returns and Extreme Returns: The Role of Investor Attention and Risk Preferences
Author(s) -
Hur Jungshik,
Singh Vivek
Publication year - 2016
Publication title -
financial management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.647
H-Index - 68
eISSN - 1755-053X
pISSN - 0046-3892
DOI - 10.1111/fima.12145
Subject(s) - stock (firearms) , economics , excess return , expected return , econometrics , monetary economics , financial economics , portfolio , mechanical engineering , paleontology , context (archaeology) , engineering , biology
Previous work finds a negative and significant relation between the maximum daily return over the past one month and expected future stock returns. We determine that this effect is more pronounced for stocks that achieve their maximum daily returns toward the end of the month and stocks that are associated with capital losses show greater reversals. These results suggest the effect is related to investor attention and risk preferences.