ETF MAX and MIN effects

John Gould, Zhiyue Sun and Joey W. Yang

Finance Research Letters, 2024, vol. 60, issue C

Abstract: In a sample of monthly ETFs from 2006 to 2022, we find evidence of return underreaction for extreme single-day low return (strong-MIN) events for ETFs as indicated by ongoing return underperformance in the subsequent month. This “MIN effect” result is consistent with: (i) ETF investors being hesitant to sell due to the disposition effect or being willing to buy due to anchoring bias and the illusion of a “cheap” market price during and following a strong-MIN event; and (ii) subsequent momentum drift driven by authorized participant arbitrage. We do not find robust evidence that strong-MAX events for ETFs are associated with predictable return performance in the subsequent month.

Keywords: ETF mispricing; MIN effect; MAX effect (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323012072
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012072

DOI: 10.1016/j.frl.2023.104835

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().