The MAX puzzle in a frontier market before and during the Covid-19 pandemic

This study analyses the MAX anomaly in a frontier market before and during the Covid19 pandemic. Our sample has 39,673 firm-month observations of non-financial firms in Vietnam from 2008 to 2021. Using the Carhart four-factor model augmented with MAX anomaly, Fama-Macbeth two-step estimations, and portfolio analyses, we report the persistence of the MAX puzzle in Vietnam before and during the Covid-19 pandemic. The arbitrary returns between the highest and lowest MAX portfolios are around 1% per month. Finally, our results report that the MAX anomaly is subsumed by the IVOL anomaly, while the skewness fails to explain the MAX anomaly. Our findings align with the anchoring theory, prospect theory, and prior literature. Our findings align with the anchoring theory, prospect theory, and prior literature. Our study suggests that policymakers improve market transparency to protect retail investors. [ FROM AUTHOR] Copyright of Investment Analysts Journal is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full . (Copyright applies to all s.)

The MAX puzzle in a frontier market before and during the Covid-19 pandemic

This study analyses the MAX anomaly in a frontier market before and during the Covid19 pandemic. Our sample has 39,673 firm-month observations of non-financial firms in Vietnam from 2008 to 2021. Using the Carhart four-factor model augmented with MAX anomaly, Fama-Macbeth two-step estimations, and portfolio analyses, we report the persistence of the MAX puzzle in Vietnam before and during the Covid-19 pandemic. The arbitrary returns between the highest and lowest MAX portfolios are around 1% per month. Finally, our results report that the MAX anomaly is subsumed by the IVOL anomaly, while the skewness fails to explain the MAX anomaly. Our findings align with the anchoring theory, prospect theory, and prior literature. Our findings align with the anchoring theory, prospect theory, and prior literature. Our study suggests that policymakers improve market transparency to protect retail investors. [ FROM AUTHOR] Copyright of Investment Analysts Journal is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full . (Copyright applies to all s.)