Recent evidence in the US and Europe indicates that stocks with high maximum daily
returns in the previous month, perform poorly in the current month. We investigate the …

This paper proposes the development of an improved investor sentiment index (ISI) to apply
on the Korea Composite Stock Price Index (KOSPI) and assess the vitality of sentiment …

This paper studies the role that risk and mispricing play in the negative relation between
extreme positive returns and future returns. We document a strong 'MAX effect'in Australian …

The literature documents that the IVOL anomaly is subsumed by the MAX effect in US and
European stock market. Consistent with the literature, we find strong IVOL and MAX effects …

This study investigates the MAX effect regarding lottery mindset in the Chinese stock market.
The MAX effect significantly affects stock returns through quintile portfolio and cross …

Evidence of a negative relationship between extreme positive returns and future returns has
been reported in developed markets (Bali, Cakici, & Whitelaw, 2011; Zhong & Gray, 2016) …

We investigate the role that weather-induced mood plays in underperformance of lottery
stocks. We hypothesize that during pleasant weather conditions, investors are more likely to …

The idiosyncratic volatility (IVOL) puzzle has been associated with individual investors'
preference toward lottery-like stocks, causing mispricings. Existing studies that relate the …

In this paper, we explore the association between property crime rate and lottery demand
anomalies. Motivated by criminology literature that suggests a positive relation between …

We examine the cross-sectional relationship between the expected stock return and both the
maximum daily return (MAX) and the idiosyncratic volatility (IVOL) in the five largest …