SSRNTrading, Microstructure & Execution
Arbitrage Risk in MAX Effect
In the Korean stock market, the MAX effect, or the highest daily return from the previous month, is only significant in overpriced stock groups.
Featured in No. 43 on 3 Apr 2024 ·
- Released
- 20 May 2022
- First featured
- No. 43 · 3 Apr 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 28
- Identifier
- SSRN 4775560
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