Asymmetric visibility of extreme past returns

Matthias Bank

Finance Research Letters, 2025, vol. 83, issue C

Abstract: I use the maximum and minimum daily return of a stock in one month, as introduced by Bali et al. (2011), as a measure of the relative visibility of a stock. I argue that stocks that are essentially visible only as losers (winners) will have abnormally high (low) subsequent returns. My results are based on a sample of large US stocks (S&P 500 sample) and show that only asymmetric combinations of visibility produce statistically and economically significant excess returns.

Keywords: Visibility; Salience; Asset pricing; Overreaction; Underreaction (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:83:y:2025:i:c:s1544612325008281

DOI: 10.1016/j.frl.2025.107569

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