Gambling in the Hong Kong stock market

被引：28
|
作者：
Chan, Yue-Cheong [1 ]
Chui, Andy C. W. [1 ]
机构：
[1] Hong Kong Polytech Univ, Sch Accounting & Finance, Kowloon, Hong Kong, Peoples R China
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2016年 / 44卷
关键词：
Lottery-stock premium; Maximum daily returns; Cross-sectional stock returns; CROSS-SECTION; RETURNS; PREFERENCE; LOTTERIES; SKEWNESS;
D O I：
10.1016/j.iref.2016.04.012
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. (C) 2016 Elsevier Inc. All rights reserved.
引用
收藏
页码：204 / 218
页数：15
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