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Extreme returns in emerging stock markets: evidence of a MAX effect in South Korea
16 references·1 citing·30 second hop
Extreme returns in emerging stock markets: evidence of a MAX effect in South Korea (2014)Extreme returns in emerging stock markets…Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…Who Gambles in the Stock Market? (2009)Who Gambles in the Stock Mark…Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)High idiosyncratic volatility…Equity Portfolio Diversification (2008)Equity Portfolio Diversificat…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Fads, Martingales, and Market Efficiency (1990)Fads, Martingales, and Market…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…The relationship between return and market value of common stocks (1981)The relationship between retu…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market (2017)Is the idiosyncratic volatili…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Judgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Risk, Ambiguity, and the Savage Axioms (1961)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Introductory Econometrics for Finance (2008)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Investor Psychology and Asset Pricing (2001)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 2009Who Gambles in the Stock Market?1,808 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 2008Stocks as Lotteries: The Implications of Probability Weighting for Security Prices1,548 cited
  • 2008High idiosyncratic volatility and low returns: International and further U.S. evidence1,440 cited

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  • 2008Equity Portfolio Diversification1,221 cited
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    • 2017Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market40 cited