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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：Extreme Dainky Returns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（肯定）日退货是否预测巴西每月股票回报的横断面。我们发现未来业绩的最大值（最大值）的负面影响，这符合美国和欧洲最近研究的研究结果。高最高股似乎迎合了一些正在寻求彩票股票的投资者，因为极端的积极回报股可以提供较低概率的大量收益的可能性。增加的需求导致过度归因于较低的返回乐天股票。诸如特质返回的其他代理，例如特质波动和偏斜，发挥较弱的作用（如果有的话）作为股票表现的横截面决定因素。我们记录了最大效应仅在经济收缩期间显着，因此表明股票市场的赌博行为在经济衰退期间加剧了。

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