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首页> 外文期刊>Journal of Business Research >Extreme daily returns and the cross-section of expected returns: Evidence from Brazil
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Extreme daily returns and the cross-section of expected returns: Evidence from Brazil

机译：极高的每日收益和预期收益的横截面：来自巴西的证据

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摘要

This paper examines whether extreme (positive) daily returns predict the cross-section of monthly stock returns in Brazil. We find a negative effect of the maximum (MAX) daily return on future performance which is in line with the findings from recent studies in the U.S. and Europe. High MAX stocks appear to cater to some investors who are looking for lottery-like stocks, as extreme positive return stocks offer the possibility of substantial gains with a low probability. Increased demand leads to overpricing of and ensuing lower returns to lottery-like stocks. Other proxies for extreme returns, such as idiosyncratic volatility and skewness, play a much weaker role (if any) as cross-sectional determinants of stock performance. We document that the MAX effect is significant only during economic contractions, thus suggesting that the gambling behavior in the stock market exacerbates during economic downturns.
机译：本文研究了极端（正）日收益是否可以预测巴西月度股票收益的横截面。我们发现最大（MAX）日收益率对未来表现产生负面影响，这与美国和欧洲最近的研究结果一致。高MAX的股票似乎能迎合一些正在寻找类似彩票的投资者的需求，因为极高的正收益股票提供了可能性很小的实质性收益。需求增加导致彩票类股票的定价过高，从而导致收益降低。作为股票业绩的横截面决定因素，其他获得极高回报的指标（例如特质波动率和偏度）的作用（如果有的话）要弱得多。我们证明，最大效应仅在经济收缩时才有意义，因此表明在经济低迷时期，股票市场的赌博行为会加剧。

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