Extreme daily returns and the cross-section of expected returns: Evidence from Brazil

This paper examines whether extreme (positive) daily returns predict the cross-section of monthly stock returns in Brazil. We find a negative effect of the maximum (MAX) daily return on future performance which is in line with the findings from recent studies in the U.S. and Europe. High MAX stocks...

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Detalles Bibliográficos
Autores Principales: Berggrun, L., Cardona, E., Lizarzaburu, E.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2020
Acceso en línea:http://hdl.handle.net/1992/47004