Analysis of the Effect of MAX Return on Expected Return in Indonesian Stocks Exchange

This study aims to analyze the influences of MAX returns on the expected returns of stocks listedin the KOMPAS 100 Index of the Indonesia Stock Exchange from 2012 to 2021. The control variables in thisstudy were the market beta, market capitalization, book-to-market ratio, short-term reversal, and idiosyncraticvolatility. This study used a quantitative approach with the technique of purposive sampling. The samples arecompanies listed and settled in the KOMPAS100 Index of the Indonesia Stock Exchange from 2012 through2021. The samples used in the study consisted of 45 companies. The data in this study was panel data,consisting of time series and cross-section. This study had 1 model using a cross-section regression technique.This study showed a significant negative influence between the MAX and expected returns. Hence, investors onthe Indonesia Stock Exchange preferred buying stocks that experienced extremely positive returns in the hopesof getting high returns. However, they had a small probability and a higher risk level. Thus, it could beconcluded that investors in the Indonesian Stock Exchange tended to buy stocks like a lottery.