Gambling in the Hong Kong stock market

Research output: Journal article publicationJournal articleAcademic researchpeer-review

19 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)204-218
Number of pages15
JournalInternational Review of Economics and Finance
Volume44
DOIs
Publication statusPublished - 1 Jul 2016

Keywords

  • Cross-sectional stock returns
  • Lottery-stock premium
  • Maximum daily returns

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Cite this