Are extreme negative returns priced in the Indian stock market?
Given some recent empirical evidence showing the predictive ability of maximum daily returns (MAX) in the cross-section of stock returns, we examine the relationship between minimum daily returns (MIN) and subsequent monthly returns in the emerging stock market of India during the period 1999–2014....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2018-03-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845017300418 |