It Could Be Overreaction, Not Lottery-Seeking, That Is Behind Bali, Cakici And Whitelaw’s MAX Effect; Code, Data and Additional Information.

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; and2. 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); and3. a pdf file.

本数据集包含用于复现Gorman J.、Akhtar F.、Durand R.B.、Gould J.于《临界金融评论（Critical Finance Review）》即将刊发的论文《巴厘、卡基西与怀特劳的MAX效应（MAX Effect）成因：过度反应而非博彩寻求》（原文标题：It Could Be Overreaction, Not Lottery-Seeking, That Is Behind Bali, Cakici And Whitelaw’s MAX Effect）中所呈现分析的SAS代码。此外，本数据集还提供以下内容：1. 研究所用的数据样本；2. 论文中探讨的企业21日内首次出现MAX效应事件的补充分析。关键词：极端收益；类博彩收益；博彩行为；过度反应；反转效应。本数据集包含三类文件：1. SAS代码文件；2. 可通过SAS读取的格式数据文件；3. PDF文档。