Annaert, Jan; De Ceuster, Marc; Verstegen, Kurt - In: Journal of Banking & Finance 37 (2013) 9, pp. 3401-3411
This paper revisits some recently found evidence in the literature on the cross-section of stock returns for a carefully constructed dataset of euro area stocks. First, we confirm recent results for US data and find evidence of a negative cross-sectional relation between extreme positive returns...