401
Views
4
CrossRef citations to date
0
Altmetric
Regular Articles

Predictability of Extreme Returns in the Turkish Stock Market

, , &

References

  • Aboulamer, A., and L. Kryzanowski. 2016. Are idiosyncratic volatility and MAX priced in the Canadian market?. Journal of Empirical Finance 37:20–36. doi:10.1016/j.jempfin.2016.02.005.
  • Alkan, U., and B. Guner. 2018. Preferences for lottery stocks at Borsa Istanbul. Journal of International Financial Markets, Institutions and Money. doi:10.1016/j.intfin.2018.02.015.
  • Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang. 2006. The cross‐section of volatility and expected returns. The Journal of Finance 61 (1):259–99. doi:10.1111/j.1540-6261.2006.00836.x.
  • Annaert, J., M. D. Ceuster, and K. Verstegen. 2013. Are extreme returns priced in the stock market? European evidence. Journal of Banking and Finance 37 (9):3401–11. doi:10.1016/j.jbankfin.2013.05.015.
  • Arditti, F. D. 1967. Risk and the required return on equity. The Journal of Finance 22 (1):19–36. doi:10.1111/j.1540-6261.1967.tb01651.x.
  • Arditti, F. D. 1971. Another look at mutual fund performance. Journal of Financial and Quantitative Analysis 6 (3):909–12. doi:10.2307/2329910.
  • Bali, T. G., S. J. Brown, S. Murray, and Y. Tang (2014). Betting against beta of demand for lottery. SSRN working paper, August. doi: 10.2139/ssrn.2481344.
  • Bali, T. G., S. J. Brown, S. Murray, and Y. Tang. December 2017. A Lottery Demand-Based Explanation of the Beta Anomaly. Journal of Financial and Quantitative Analysis 52(6):2369–97. doi: 10.1017/S0022109017000928.
  • Bali, T. G., and N. Cakici. 2008. Idiosyncratic volatility and the cross-section of expected returns. Journal of Financial and Quantitative Analysis 43 (1):29–58. doi:10.1017/S002210900000274X.
  • Bali, T. G., N. Cakici, and R. F. Whitelaw. 2011. Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics 99 (2):427–46. doi:10.1016/j.jfineco.2010.08.014.
  • Barberis, N., and M. Huang. 2008. Stocks as lotteries: The implications of probability weighting for security prices. American Economic Review 98 (5):2066–100. doi:10.1257/aer.98.5.2066.
  • Boyer, B., T. Mitton, and K. Vorkink (2007). Idiosyncratic volatility and skewness: Time-series relations and the cross-section of expected returns. Working Paper, Brigham Young University. doi: 10.2139/ssrn.972668.
  • Brunnermeier, M. K., C. Gollier, and J. A. Parker. 2007. Optimal beliefs, asset prices, and the preference for skewed returns. American Economic Review 97 (2):159–65. doi:10.1257/aer.97.2.159.
  • Brunnermeier, M. K., and J. A. Parker. 2005. Optimal expectations. American Economic Review 95 (4):1092–118. doi:10.1257/0002828054825493.
  • Chan, Y. C., and A. C. Chui. 2016. Gambling in the Hong Kong stock market. International Review of Economics & Finance 44:204–18. doi:10.1016/j.iref.2016.04.012.
  • Chee, W. Y. (2012). An empirical analysis of idiosyncratic volatility and extreme returns in the Japanese stock market (Doctoral dissertation, Lincoln University).
  • Chen, Z., and R. Petkova. 2012. Does idiosyncratic volatility proxy for risk exposure?. The Review of Financial Studies 25 (9):2745–87. doi:10.1093/rfs/hhs084.
  • Cheon, Y. H., and K. H. Lee. 2017. Maxing out globally: Individualism, investor attention, and the cross section of expected stock returns. Management Science 1–25. doi:10.1287/mnsc.2017.2830.
  • Conine, T. E., Jr, and M. J. Tamarkin. 1981. On diversification given asymmetry in returns. The Journal of Finance 36 (5):1143–55. doi:10.1111/j.1540-6261.1981.tb01081.x.
  • Fama, E. F., and K. R. French. 1992. The cross-section of expected stock returns. The Journal of Finance 47 (2):427–65. doi:10.1111/j.1540-6261.1992.tb04398.x.
  • Fama, E. F., and K. R. French. 2012. Size, value, and momentum in international stock returns. Journal of Financial Economics 105 (3):457–72. doi:10.1016/j.jfineco.2012.05.011.
  • Fama, E. F., and J. D. MacBeth. 1973. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy 81 (3):607–36. doi:10.1086/260061.
  • Fong, W. M., and B. Toh. 2014. Investor sentiment and the MAX effect. Journal of Banking & Finance 46:190–201. doi:10.1016/j.jbankfin.2014.05.006.
  • Frazzini, A., and L. H. Pedersen. 2014. Betting against beta. Journal of Financial Economics 111 (1):1–25. doi:10.1016/j.jfineco.2013.10.005.
  • Han, B., and A. Kumar. 2013. Speculative retail trading and asset prices. Journal of Financial and Quantitative Analysis 48 (2):377–404. doi:10.1017/S0022109013000100.
  • Harvey, C. R., and A. Siddique. 2000. Conditional skewness in asset pricing tests. The Journal of Finance 55 (3):1263–95. doi:10.1111/0022-1082.00247.
  • Haykir, O. 2018. Does MAX Anomaly Exist in Emerging Market: Evidence from the Turkish Stock Market?. International Journal of Economics and Financial Issues 8 (2):148–53.
  • Hou, K., G. A. Karolyi, and B. C. Kho. 2011. What factors drive global stock returns?. The Review of Financial Studies 24 (8):2527–74. doi:10.1093/rfs/hhr013.
  • Jegadeesh, N. 1990. Evidence of predictable behavior of security returns. The Journal of Finance 45 (3):881–98. doi:10.1111/j.1540-6261.1990.tb05110.x.
  • Jegadeesh, N., and S. Titman. 2001. Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance 56 (2):699–720. doi:10.1111/0022-1082.00342.
  • Kane, A. 1982. Skewness preference and portfolio choice. Journal of Financial and Quantitative Analysis 17 (1):15–25. doi:10.2307/2330926.
  • Kraus, A., and R. H. Litzenberger. 1976. Skewness preference and the valuation of risk assets. The Journal of Finance 31 (4):1085–100. doi:10.2307/2326275.
  • Kumar, A. 2009. Who gambles in the stock market?. The Journal of Finance 64 (4):1889–933. doi:10.1111/j.1540-6261.2009.01483.x.
  • Lehmann, B. N. 1990. Fads, martingales, and market efficiency. The Quarterly Journal of Economics 105 (1):1–28. doi:10.2307/2937816.
  • Nartea, G. V., J. Wu, and H. T. Liu. 2014. Extreme returns in emerging stock markets: Evidence of a MAX effect in South Korea. Applied Financial Economics 24 (6):425–35. doi:10.1080/09603107.2014.884696.
  • Simkowitz, M. A., and W. L. Beedles. 1978. Diversification in a three-moment world. Journal of Financial and Quantitative Analysis 13 (5):927–41. doi:10.2307/2330635.
  • Tversky, A., and D. Kahneman. 1992. Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty 5 (4):297–323. doi:10.1007/BF00122574.
  • Walkshäusl, C. 2014. The MAX effect: European evidence. Journal of Banking & Finance 42:1–10. doi:10.1016/j.jbankfin.2014.01.020.
  • Wan, X. 2018. Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market. International Review of Economics & Finance 53:1–15. doi:10.1016/j.iref.2017.10.015.
  • Zhong, A., and P. Gray. 2016. The MAX effect: An exploration of risk and mispricing explanations. Journal of Banking & Finance 65:76–90. doi:10.1016/j.jbankfin.2016.01.007.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.