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dc.contributor.authorCheema, Muhammad A.en_NZ
dc.contributor.authorNartea, Gilbert V.en_NZ
dc.contributor.authorMan, Yimeien_NZ
dc.date.accessioned2019-01-17T22:39:50Z
dc.date.available2018-01-01en_NZ
dc.date.available2019-01-17T22:39:50Z
dc.date.issued2018en_NZ
dc.identifier.citationCheema, M. A., Nartea, G. V., & Man, Y. (2018). Maxing Out in China: Optimism or Attention? International Review of Finance. https://doi.org/10.1111/irfi.12241en
dc.identifier.issn1369-412Xen_NZ
dc.identifier.urihttps://hdl.handle.net/10289/12282
dc.description.abstractBali et al. (2011) document a maximum daily returns (MAX) premium in the US where stocks with the highest MAX underperform stocks with the lowest MAX in the subsequent month. However, the source of this MAX premium is contentious. Fong and Toh (2014) find that the MAX premium exclusively follows high sentiment periods suggesting that it is driven by investor optimism during high sentiment periods. In contrast Cheon and Lee (2017) find that the MAX premium is stronger following low sentiment periods suggesting that it is driven by the attention-grabbing characteristic of high MAX stocks in low sentiment periods. We present evidence from China consistent with the MAX premium being driven by investor optimism during high sentiment periods.en_NZ
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.rights© 2018 International Review of Finance Ltd. This is the author's accepted version.
dc.titleMaxing Out in China: Optimism or Attention?en_NZ
dc.typeJournal Article
dc.identifier.doi10.1111/irfi.12241en_NZ
dc.relation.isPartOfInternational Review of Financeen_NZ
pubs.elements-id225780
pubs.publication-statusAccepteden_NZ
dc.identifier.eissn1468-2443en_NZ


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