CEO overconfidence, lottery preference and the cross-section of stock returns

被引：0

作者：

Lu, Jing ^{[1
]}

Ho, Keng-Yu ^{[2
]}

Ho, Po-Hsin ^{[3
]}

Ko, Kuan-Cheng ^{[4
,5
]}

机构：

[1] Chongqing Univ, Sch Econ & Business Adm, Chongqing, Peoples R China

[2] Natl Taiwan Univ, Dept Finance, Taipei, Taiwan

[3] Natl Cent Univ, Dept Finance, Zhongli, Taiwan

[4] Natl Chi Nan Univ, Dept Banking & Finance, Puli, Taiwan

[5] 1 Daxue Rd, Puli 54561, Taiwan

来源：

FINANCE RESEARCH LETTERS | 2023年 / 54卷

基金：

中国国家自然科学基金;

关键词：

CEO overconfidence; Lottery preference; Maximum daily returns; Stock returns; RISK; SKEWNESS; EQUILIBRIUM; MANAGEMENT; SENTIMENT; GAMBLES;

D O I：

10.1016/j.frl.2023.103749

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Unlike existing studies that mostly focus on investors' biased behavior in explaining the lotteryrelated anomaly, our study highlights the importance of CEO overconfidence for the anomaly. We propose that CEO overconfidence could enhance investors' confidence in the stock's price even if the stock exhibits lottery-like payoffs. As a result, lottery stocks with overconfident CEOs are less prone to subsequent underperformance. Based on portfolio-based analyses and cross-sectional regressions, we provide robust evidence to confirm this hypothesis. Our study has important implications to the literature on both lottery-related anomaly and CEO overconfidence.

引用

页数：10

共 50 条

[1] Time-dependent lottery preference and the cross-section of stock returns
Lin, Chaonan
Chen, Hong Yi
Ko, Kuan-Cheng
Yang, Nien-Tzu
[J]. JOURNAL OF EMPIRICAL FINANCE, 2021, 64 : 272 - 294
[2] Lottery demand, weather and the cross-section of stock returns
Bradrania, Reza
Gao, Ya
[J]. JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 2024, 42
[3] Skewness, Individual Investor Preference, and the Cross-section of Stock Returns
Lin, Tse-Chun
Liu, Xin
[J]. REVIEW OF FINANCE, 2018, 22 (05) : 1841 - 1876
[4] Expectations and the cross-section of stock returns
LaPorta, R
[J]. JOURNAL OF FINANCE, 1996, 51 (05): : 1715 - 1742
[5] Seasonality in the cross-section of stock returns
Heston, Steven L.
Sadka, Ronnie
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2008, 87 (02) : 418 - 445
[6] Mispricing and the cross-section of stock returns
Chen C.R.
Lung P.P.
Wang F.A.
[J]. Review of Quantitative Finance and Accounting, 2009, 32 (4) : 317 - 349
[7] The Cross-section of Expected Stock Returns
Lewellen, Jonathan
[J]. CRITICAL FINANCE REVIEW, 2015, 4 (01): : 1 - 44
[8] THE CROSS-SECTION OF EXPECTED STOCK RETURNS
FAMA, EF
FRENCH, KR
[J]. JOURNAL OF FINANCE, 1992, 47 (02): : 427 - 465
[9] The History of the Cross-Section of Stock Returns
Linnainmaa, Juhani T.
Roberts, Michael R.
[J]. REVIEW OF FINANCIAL STUDIES, 2018, 31 (07): : 2606 - 2649
[10] The cross-section of stock returns on the Shanghai stock exchange
Wong K.A.
Tan R.S.K.
Liu W.
[J]. Review of Quantitative Finance and Accounting, 2006, 26 (1) : 23 - 39

← 1 2 3 4 5 →