Abstract
Motivated by Bali, Cakici and Whitelaw (2011)’s findings of the “MAX effect” in the U.S. stock markets, where stocks with high maximum daily returns in the previous month have abnormally low average returns, we check their result’s robustness on two different periods, which was not conducted in their study. We find that the MAX effect is mainly concentrated on periods before 1990’s, but disappears in recent decades.
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