Motivated by Bali et al. (2011) and Ang et al. (2006 & 2009), we examine the cross-sectional relationship between the expected stock return and both the maximum daily return (MAX) and the idiosyncratic volatility (IVOL) in the five largest emerging African stock markets over the period from 2001...

We investigate the significance of extreme positive returns (MAX) in the cross- sectional pricing of stocks in South Korea. Our results provide important out of sample evidence of a strong negative MAX effect similar to that documented by Bali et al., (2011) in the U.S. stock market. For...

We explore the impact of economic policy uncertainty exposure (hereafter, EPU exposure) on stock price bubbles. We fnd that there exists a signifcantly positive relationship between EPU exposure and stock price bubbles. This result is still signifcant after a series of robustness checks....