Cross-Section of Expected Returns and Extreme Returns: The Role of Investor Attention and Risk Preferences

Hur Jungshik; Singh Vivek

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Cross-Section of Expected Returns and Extreme Returns: The Role of Investor Attention and Risk Preferences

机译：预期收益和极值收益的横断面：投资者注意和风险偏好的作用

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Previous work finds a negative and significant relation between the maximum daily return over the past one month and expected future stock returns. We determine that this effect is more pronounced for stocks that achieve their maximum daily returns toward the end of the month and stocks that are associated with capital losses show greater reversals. These results suggest the effect is related to investor attention and risk preferences.

机译：先前的工作发现过去一个月的最大日收益与预期的未来股票收益之间存在负显着的关系。我们确定，对于在月末达到每日最大收益的股票，与资本损失相关的股票，其逆转作用更大，这种影响更为明显。这些结果表明，这种效果与投资者的注意力和风险偏好有关。

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《Financial management》 |2017年第2期|409-431|共23页
作者
Hur Jungshik; Singh Vivek;
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Louisiana Tech Univ, Dept Econ & Finance, Finance, Ruston, LA 71270 USA;

Univ Michigan, Dept Accounting & Finance, Finance, Dearborn, MI 48128 USA;

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正文语种 eng
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Cross-Section of Expected Returns and Extreme Returns: The Role of Investor Attention and Risk Preferences

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