Time variation of MAX-premium with market volatility: Evidence from Korean stock market

Yong-Ho Cheon
Yong-Ho Cheon

Pacific-basin Finance Journal, pp. 32-46, 2018.

Cited by: 0|Bibtex|Views7|DOI:https://doi.org/10.1016/j.pacfin.2018.05.007
Other Links: academic.microsoft.com

Abstract:

Korean stock market provides an ideal setting to examine the time-variation of the premium for stocks with a large price jump (MAX) because the market is mostly dominated by individual investors who are more prone to behavioral bias than institutional investors are. We find that investorsu0027 overpayment for stocks with high MAX is drive...More

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