The MAX puzzle in a frontier market before and during the Covid-19 pandemic-Reference-Cited by-同舟云学术

The MAX puzzle in a frontier market before and during the Covid-19 pandemic

Published:2022-10-12 Issue:1 Volume:52 Page:4-18
ISSN:1029-3523
Container-title:Investment Analysts Journal
language:en
Short-container-title:Investment Analysts Journal

Author:

Duong Khoa Dang¹^ORCID,Tran Man Minh¹,Nguyen Qui Nhat²,Le Hoa Thanh Phan³

Affiliation:

1. Faculty of Finance and Banking, Ton Duc Thang University, Ho Chi Minh City, Vietnam

2. Portfolio Management, Dynam Capital, Ho Chi Minh City, Vietnam

3. Corresponding author at Faculty of Accounting and Auditing, Van Lang University, 69/68 Dang Thuy Tram Street, Ward 13, Binh Thanh District, Ho Chi Minh City, Vietnam

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/10293523.2022.2125641

Reference45 articles.

1. Are idiosyncratic volatility and MAX priced in the Canadian market?

2. Predictability of Extreme Returns in the Turkish Stock Market

3. Are idiosyncratic risk and extreme positive return priced in the Indian equity market?

4. Positive IVOL-MAX effect: A study on the Singapore Stock Market

5. Illiquidity and stock returns: cross-section and time-series effects

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