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

  • 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
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 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
  • 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
  • 2018Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects949 cited
  • 2005Optimal Expectations789 cited
  • 2008Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

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517 cited
  • 2005Stocks as Lotteries: the Implications of Probability Weighting for Security Prices513 cited
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