Financial Management (Wiley-Blackwell). Volume 46, Issue 2 Summer 2017 Pages 409–431

预期收益和极端收益的横截面：投资者关注和风险偏好的作用

作者：Jungshik Hur, Vivek Singh

摘要：之前的研究发现过去一个月的最大单日收益和预期未来股票收益之间存在一种负向显著的关系👰🏼。我们认为这种效应在月末实现最大单日收益的股票中更明显，而且和资本损失存在关联的股票表现出更强的反转，这些结果表明这一效应和投资者关注以及风险偏好相关👨🏻‍🦱。

Cross-Section of Expected Returns and Extreme Returns: The Role of Investor Attention and Risk Preferences

Jungshik Hur, Vivek Singh

ABSTRACT：Previous work finds a negative and significant relation between the maximum daily return over the past one month and expected future stock returns. We determine that this effect is more pronounced for stocks that achieve their maximum daily returns toward the end of the month and stocks that are associated with capital losses show greater reversals. These results suggest the effect is related to investor attention and risk preferences.

原文链接⛵️：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12145/full

翻译：孙雨琦