Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market

被引：9
|
作者：
Hoang Van Hai [1 ,2 ]
Park, Jong Won [3 ]
Tsai, Ping-Chen [4 ]
Eom, Cheoljun [2 ]
机构：
[1] Univ Danang, Univ Econ, Da Nang, Vietnam
[2] Pusan Natl Univ, Sch Business, Busan 46241, South Korea
[3] Univ Seoul, Coll Business Adm, Seoul 02504, South Korea
[4] Natl Sun Yat Sen Univ, Dept Finance, Kaohsiung 80424, Taiwan
来源：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2020年 / 54卷
基金：
新加坡国家研究基金会;
关键词：
MAX effect; Lottery mindset; Mispricing; Idiosyncratic volatility; Emerging stock market; CROSS-SECTION; RETURNS; RISK; ARBITRAGE;
D O I：
10.1016/j.najef.2020.101266
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates the MAX effect regarding lottery mindset in the Chinese stock market. The MAX effect significantly affects stock returns through quintile portfolio and cross-sectional regression analyses. The most-overpriced stock groups, as categorized by mispricing index, show more support for the MAX effect. However, the idiosyncratic volatility (IVOL) effect continues regardless of consideration for the MAX effect, indicating that the MAX effect is not a source of the IVOL effect. Our results suggest that the MAX effect, which is highly relevant for overpriced stocks, might have information for determining stock price, and appears to be independent from information of the IVOL effect in the Chinese stock market.
引用
收藏
页数：13
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