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- W2495473004 abstract "With thousands of stocks to choose from, gamblingprone investors focus on stocks with salient lottery-type characteristics such as those that occasionally produce extremely large (“jackpot”) returns. This chapter examines the MAX strategy where this form of salience looms large. The MAX strategy buys stocks with high maximum daily returns in the previous month and sells those that have low maximum returns over the same period. Bali, Cakici, and Whitelaw (2011) show that the MAX strategy earns significantly negative risk-adjusted returns, mainly due to the anomalously low returns of high-MAX stocks. I present similar evidence on the MAX anomaly and show that high-MAX stocks have low-institutional ownership, suggesting that they attract mainly individual investors. I also present evidence that investor sentiment plays an important role in explaining investors’ optimism about high-MAX stocks." @default.
- W2495473004 created "2016-08-23" @default.
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- W2495473004 date "2014-01-01" @default.
- W2495473004 modified "2023-09-24" @default.
- W2495473004 title "The MAX Effect" @default.
- W2495473004 doi "https://doi.org/10.1057/9781137381736_7" @default.
- W2495473004 hasPublicationYear "2014" @default.
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