Preferences for maximum daily returns
Zusammenfassung
Previous research shows that individual investors are attracted to stocks with high maximum daily returns in the previous month (MAX). We examine the underlying sources of this preference. In a discrete choice investment experiment, subjects prefer high-MAX stocks only if these stocks are speculative with a comparably high level of return volatility. However, after controlling for volatility, subjects no longer favor high-MAX stocks. Hence, individuals do not prefer higher maximum daily returns per se. We find additional support for these findings in the aggregate trading patterns of Robinhood retail investors.
Schlüsselwörter
MAX preferences; MAX effect; choice experiment; retail investors
Zitieren als
Baars, M., & Mohrschladt, H. (2024). Preferences for maximum daily returns. Journal of Economic Behavior and Organization, 220, 343–353.Details
Publikationstyp
Forschungsartikel (Zeitschrift)
Begutachtet
Ja
Publikationsstatus
Veröffentlicht
Jahr
2024
Fachzeitschrift
Journal of Economic Behavior and Organization
Band
220
Erste Seite
343
Letzte Seite
353
Sprache
Englisch
ISSN
0167-2681
DOI