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Do Extreme Returns Matter in Emerging Markets? Evidence from the Chinese Stock Market · Study

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PreprintDo Extreme Returns Matter in Emerging Markets? Evidence from the Chinese Stock Market

Gilbert V. Nartea2015

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Preprintgreen2015

Do Extreme Returns Matter in Emerging Markets? Evidence from the Chinese Stock Market

Gilbert V. Nartea · Dongmin Kong · Ji George Wu

24 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1992Advances in prospect theory: Cumulative representation of uncertainty 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2002Illiquidity and stock returns: cross-section and time-series effects 2006The Cross‐Section of Volatility and Expected Returns 2000Conditional Skewness in Asset Pricing Tests 1990Evidence of Predictable Behavior of Security Returns 2009Who Gambles in the Stock Market?

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2016Do extreme returns matter in emerging markets? Evidence from the Chinese stock marketarticle · 17 shared references 2016The MAX effect: An exploration of risk and mispricing explanationsarticle · 17 shared references 2014Extreme returns in emerging stock markets: evidence of a MAX effect in South Koreaarticle · 17 shared references 2017Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock marketarticle · 15 shared references 2013Are extreme returns priced in the stock market? European evidencearticle · 14 shared references 2013Does idiosyncratic volatility matter in emerging markets? Evidence from Chinaarticle · 13 shared references

Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2558279

openalex_workW2269622111

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