Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

By Turan G. Bali, Nusret Cakici, Robert F. Whitelaw. 2011

1,382 citations recorded by the source corpus.

Subfields: Clinical Psychology, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cb258412eb2cd434a1a64272051995471e4d32e5

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Citations in the corpus

Do extreme returns matter in emerging markets? Evidence from the Chinese stock market (2017, neutral): “Bali et al. (2011) report that the negative MAX effect is stronger if they use the average of the five highest daily returns in the previous month to sort portfolios.”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “(36)In related work, Kumar (2009) shows that stocks with low prices, high past idiosyncratic return volatility, and high past idiosyncratic return skewness have a low average return, while Bali et al. (2011) show that stocks with a high maximum daily return over the past month have a low average ret”
Religion, Gambling Attitudes and Corporate Innovation (2016, background): “Second, firms in such industries are more likely to have experienced extremely successful events, a trait which is valued by individuals with gambling preferences (e.g., Kumar (2009), and Bali, Cakici, and Whitelaw (2011)).”
Speculative Retail Trading and Asset Prices (2013, positive): “When we include the maximum daily return within a month (MAXRET) measure proposed in Bali, Cakici, and Whitelaw (2011) as an additional independent variable, consistent with their evidence, the IVOL coefficient estimate becomes positive.”
Are extreme returns priced in the stock market? European evidence. (2013, positive): “As admitted by Bali et al. (2011), who estimate beta over a month using daily data, this estimate is subject to a significant amount of measurement error.”
Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, positive): “• Coskewness (CSK): Following Harvey and Siddique (2000) and Ang, Chen, and Xing (2006a), the coskewness of stock i at the end of month t is estimated using daily returns for month t as: ĈSKi,t = 1 N ∑ d(ri,d − r̄i)(r0,d − r̄0)2√ 1 N ∑ d(ri,d − r̄i)2( 1 N ∑ d(r0,d − r̄0)2) , (19) where N denotes th”