Are extreme returns priced in the stock market? European evidence.

By J. Annaert, M. D. Ceuster, Kurt Verstegen. 2013

113 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cd661a7ccbcdee039255259287c9906895909e50

Citations in the corpus

• Do extreme returns matter in emerging markets? Evidence from the Chinese stock market (2017, unknown): “We also find that the MAX effect does not weaken, much less reverse the IV effect in the Chinese stock market contrary to the findings of Annaert et al. (2013) in European markets and of Bali et al. (2011) in U.S. stock markets.”