Does MAX matter for mutual funds?
研究了共同基金过去极端日收益率（MAX）与未来表现的关系，发现高MAX基金在组合排序和横截面检验中均表现不佳，并检验了资金流动和持仓集中度两种解释。
Abstract Extreme returns (MAX) have been shown to impact future expected stock returns. We examine whether this relationship is present in mutual fund returns. We find that high MAX funds, as measured by past extreme daily returns, underperform both in portfolio sorts and cross‐sectional tests. We further test possible explanations for why MAX funds underperform. First, we measure mutual fund flows to determine investor response to MAX. Second, we examine the underlying holdings of MAX funds to measure their concentration in MAX stocks. We find evidence that both fund flows and holdings contribute to the MAX effect on mutual fund returns.