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http://hdl.handle.net/10397/61456
| Title: | Gambling in the Hong Kong Stock Market | Authors: | Chan, YC Chui, ACW |
Issue Date: | Jul-2016 | Source: | International review of economics and finance, July 2016, v. 44, p. 204-218 | 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: | Cross-sectional stock returns Lottery-stock premium Maximum daily returns |
Publisher: | JAI | Journal: | International review of economics and finance | ISSN: | 1059-0560 | DOI: | 10.1016/j.iref.2016.04.012 | Rights: | © 2016 Elsevier Inc. All rights reserved. © 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/ The following publication Chan, Y. C., & Chui, A. C. (2016). Gambling in the Hong Kong stock market. International Review of Economics & Finance, 44, 204-218 is available at https://doi.org/10.1016/j.iref.2016.04.012 |
| Appears in Collections: | Journal/Magazine Article |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| Chan_Gambling_Hong_Kong.pdf | Pre-Published version | 1.3 MB | Adobe PDF | View/Open |
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