Asymmetric visibility of extreme past returns

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. • Apply recent (behavioral-driven) decision theories (Bordalo et al (2013) Golman et al. (2021)) in an asset pricing context. • Adding to the growing literature on attention using MAX and MIN introduced by Bali et al. (2011). • Providing statistically and economically significant results even int the most liquid and efficient stock market (S&P 500).