This dataset contains the SAS code used to conduct the analysis presented in Gorman, J., Akhtar, F., Durand, R.B., Gould J., "It Could Be Overreaction, Not Lottery-Seeking, That Is Behind Bali, Cakici And Whitelaw’s MAX Effect", forthcoming in the Critical Finance Review.
In addition, it provides:
1. a sample of the data used; and
2. the additional analysis, discussed in the paper, of firms' first-MAX-in-21-days events.
Keywords: Extreme returns; Lottery-like payoffs; Gambling; Overreaction; Reversal.
This dataset contains three files:
1. SAS code.
2. Data (in a format readable by SAS); and
3. a pdf file.
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- DOI : 10.25917/w1ve-5r50