Extreme returns and the investor’s expectation for future volatility: Evidence from the Finnish stock market

Linkages between share pledging, stock price risk and profitability: Evidence from the P.R. China

“…Share pledging potentially increases stock price risk regarding corporate investment and financing decisions [ 46 ]. Several studies have concluded that the stock price risk is higher in firms with a high share pledging ratio or controlling shareholders’ share-pledging.…”

“…Therefore, two factors, EPS and negative investor expectations, will increase the stock price risk, hindering further corporate development. Research into the Davis Double Play effect provides evidence about the relationship between EPS and stock price and considers how investor expectations affect stock volatility [46,[48][49][50]. Alternatively, many controlling shareholders pledge their shares to obtain loans, not for the firm's investment but for their own.…”

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

“…While IVOL coefficient is no longer statistically significant i.e., MAX is the true effect in the US market rather than the IVOL. Nartea et al (2013), Berggrun et al (2017), Nartea and Wu (2013), Nartea et al (2014), Zhong (2018, Ali et al(2019a), Ali et al (2019b), Walkshäusl (2014), andWu et al (2019) show the significantly negative relationship of both MAX and IVOL with future return in the Chinese, the Brazilian, the Hong Kong, the South Korean, the Australian, the Finnish, the Turkish, the European, and the African markets, respectively. In contrast, India, Canada (Aboulamer et al 2016) and some Southeast Asian countries (Nartea et al 2011) are the few exceptions where the relationship between IVOL-MAX and future returns is significantly positive.…”

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

“…Bali et al (2011) and Walkshäusl (2014) show a negative MAX effect in the US and the European Market. Apart from these two evidences, Ali et al (2019a), Ali et al (2019b), Chan and Chui (2016), Nartea, Wu, and Liu (2014), Wan (2018), Zhong and Gray (2016) also show the same negative MAX and IVOL effects in the Turkish, Finnish, Hong Kong, South Korean, Chinese and Australian stock markets respectively.…”