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Số người truy cập: 103,453,998

 MAX, lottery-type stocks, and the cross-section of stock returns: Evidence from the Chinese stock market
Tác giả hoặc Nhóm tác giả: Hoang Van Hai
Nơi đăng: Cogent Economics & Finance; Số: 11(1);Từ->đến trang: 2175471;Năm: 2023
Lĩnh vực: Kinh tế; Loại: Bài báo khoa học; Thể loại: Quốc tế
TÓM TẮT
This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for lottery stock is not strongly exhibited as the lottery behavior in the Chinese stock market. Our results show that the higher MAX stocks in the lowest price stocks are stronger than those in the highest price ones. This can explain why the MAX phenomenon of the Chinese market is different from that in the developed market regarding the candidate of the IVOL puzzle explanation.
ABSTRACT
This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for lottery stock is not strongly exhibited as the lottery behavior in the Chinese stock market. Our results show that the higher MAX stocks in the lowest price stocks are stronger than those in the highest price ones. This can explain why the MAX phenomenon of the Chinese market is different from that in the developed market regarding the candidate of the IVOL puzzle explanation.
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