Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083314 | International Review of Economics & Finance | 2016 | 15 Pages |
Abstract
This paper documents the existence of a lottery-stock premium in the Hong Kong stock market as reflected by the finding that stocks with stronger lottery features during the current month have poorer future return in the following month. The lottery-stock premium is weaker for stocks with persistent lottery features and is stronger when the overall stock market is more volatile or has poorer returns. In addition, the strength of lottery features can predict the future upside potential of the stock. Overall, this study indicates that people's gambling attitudes affect stock price movements and speculative investors are trading off between the poorer mean return and the better right-hand tail of the return distribution when they are buying the lottery-like securities.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yue-Cheong Chan, Andy C.W. Chui,