Limits to arbitrage and the MAX anomaly in advanced emerging markets
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DOI: 10.1016/j.ememar.2018.03.004
Abstract: Abstract Evidence of a negative relationship between extreme positive returns and future returns has been reported in developed markets (Bali, Cakici, & Whitelaw, 2011; Zhong & Gray, 2016). This study examines this “MAX anomaly” across… read more here.
Keywords: limits arbitrage; emerging markets; advanced emerging; max anomaly ... See more keywords