Walkshäusl, Christian - In: Journal of Banking & Finance 42 (2014) C, pp. 1-10
The maximum daily return over the previous month (MAX) of Bali et al. (2011) is a strong and significant predictor of future stock returns in non-U.S. equity markets. Once it is controlled for MAX in the cross-section of average returns, the puzzling negative idiosyncratic volatility-return...