Cross‐Section of Expected Returns and Extreme Returns: The Role of Investor Attention and Risk Preferences
研究发现过去一个月最大日收益与未来预期收益负相关，且月末达到最大收益的股票和资本损失较大的股票反转效应更强，表明该效应与投资者关注和风险偏好有关。
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.