Dataset title: It Could Be Overreaction, Not Lottery-Seeking, That Is Behind Bali, Cakici And Whitelaw’s MAX Effect.
Code, Data and Additional Information
DOI: 10.25917/w1ve-5r50

 Associate or Co-investigator Contact Information
        Name: Gorman, Jake 
           Institution: Curtin University
           Email: jake.gorman@curtin.edu.au
	   ORCID: 0000-0001-7722-8917

 Associate or Co-investigator Contact Information
        Name: Akhtar, Farida
           Institution: Macquarie University
           Email: farida.akhtar@mq.edu.au
	   ORCID: 0000-0002-2254-7117

 Associate or Co-investigator Contact Information
        Name: Durand, Robert B
           Institution: Curtin University
           Email: Robert.Durand@curtin.edu.au
	   ORCID: 0000-0002-4796-5024

 Associate or Co-investigator Contact Information
        Name: Gould, John
           Institution: Curtin University
           Email: j.gould@curtin.edu.au
	   ORCID: 0000-0002-7789-4343

Date of dataset publication: Feb 2022
Keywords: Extreme returns; Lottery-like payoffs; Gambling; Overreaction; Reversal.

Primary dataset contact: Robert Durand, Robert.Durand@curtin.edu.au

If necessary, further information or contact details may be found by emailing researchdata@curtin.edu.au

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DATA INFORMATION

Data description: 
We provide 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, we provide:
1. a sample of the data used; and
2. the additional analysis, discussed in the paper, of firms' first-MAX-in-21-days events.


Number of files & types: 
There are three files.
1. SAS code.
2. Data (in a format readable by SAS); and
3. a pdf file.

Special software required to open files:
SAS 9.1

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REUSE INFORMATION

Recommended citation: 
Gorman, J., Akhtar, F., Durand, R., & Gould, J. (2021). It Could Be Overreaction, Not Lottery-Seeking, That Is Behind Bali, Cakici And Whitelaw’s MAX Effect; Code, Data and Additional Information [Data set]. Curtin University. https://doi.org/10.25917/W1VE-5R50

This dataset is provided under a CC BY License. More details can be found at https://creativecommons.org/licenses/by/4.0/