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 |
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Elsevier
2018-03-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845017300418 |
| _version_ | 1818024138684497920 |
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| author | Tariq Aziz Valeed Ahmad Ansari |
| author_facet | Tariq Aziz Valeed Ahmad Ansari |
| author_sort | Tariq Aziz |
| collection | DOAJ |
| description | 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. Our findings suggest that stocks with higher MIN in a month yield higher returns in the subsequent month with some caveats. This MIN effect is present primarily among stocks with lower market capitalization, higher illiquidity, and stocks with low institutional holdings. Furthermore, the application of quantile regression reveals that the relation between MIN and future stock returns is dynamic and quantile dependent. |
| first_indexed | 2024-12-10T03:55:27Z |
| format | Article |
| id | doaj.art-64c67bae2a624291a11929e716127660 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-12-10T03:55:27Z |
| publishDate | 2018-03-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-64c67bae2a624291a11929e7161276602022-12-22T02:03:07ZengElsevierBorsa Istanbul Review2214-84502018-03-01181769010.1016/j.bir.2017.09.002Are extreme negative returns priced in the Indian stock market?Tariq AzizValeed Ahmad AnsariGiven 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. Our findings suggest that stocks with higher MIN in a month yield higher returns in the subsequent month with some caveats. This MIN effect is present primarily among stocks with lower market capitalization, higher illiquidity, and stocks with low institutional holdings. Furthermore, the application of quantile regression reveals that the relation between MIN and future stock returns is dynamic and quantile dependent.http://www.sciencedirect.com/science/article/pii/S2214845017300418MIN effectExtreme returnsAsset pricingQuantile regressionCross-sectional stock returnsInstitutional holdings |
| spellingShingle | Tariq Aziz Valeed Ahmad Ansari Are extreme negative returns priced in the Indian stock market? Borsa Istanbul Review MIN effect Extreme returns Asset pricing Quantile regression Cross-sectional stock returns Institutional holdings |
| title | Are extreme negative returns priced in the Indian stock market? |
| title_full | Are extreme negative returns priced in the Indian stock market? |
| title_fullStr | Are extreme negative returns priced in the Indian stock market? |
| title_full_unstemmed | Are extreme negative returns priced in the Indian stock market? |
| title_short | Are extreme negative returns priced in the Indian stock market? |
| title_sort | are extreme negative returns priced in the indian stock market |
| topic | MIN effect Extreme returns Asset pricing Quantile regression Cross-sectional stock returns Institutional holdings |
| url | http://www.sciencedirect.com/science/article/pii/S2214845017300418 |
| work_keys_str_mv | AT tariqaziz areextremenegativereturnspricedintheindianstockmarket AT valeedahmadansari areextremenegativereturnspricedintheindianstockmarket |