Lottery Mindsets and the Cross Sectional Returns in the Vietnam Stock Market

• 영문명: Lottery Mindsets and the Cross Sectional Returns in the Vietnam Stock Market
• 발행기관: People & Global Business Association
• 저자명: Viet Anh Hoang Ba Thanh Truong Duong Viet Anh Hoang Van Hai
• 간행물 정보: 『Global Business and Finance Review』Vol.29 No.4, 134~143쪽, 전체 10쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2024.05.30

영문 초록

Purpose: In this study, we evaluate the relationship between lottery-type stocks and future return in the Vietnam stock market from July 2010 to June 2023. Design/methodology/approach: We employ portfolio-level analysis and firm-level cross-sectional regressions fol-lowing Bali et al. (2011). Findings: We find that the minimum daily return (MINRET) is negative and statistically significant in the cross-sec-tional pricing of stocks. The minimum daily return during the previous month and anticipated stock returns are negatively and significantly correlated, according to portfolio-level analyses and firm-level cross-sectional regressions. However, the maximum daily return (MAXRET) effect is not priced in the Vietnam stock market. These findings hold up under controls for liquidity, skewness, momentum, short-term reversals, size, and book-to-market. Research limitations/implications: This study provides an understanding of the lottery phenomenon in the empiri-cal dimension, especially in the emerging stock market. Originality/value: Importantly, our empirical findings that the MINRET, not MAXRET, effect is strongly exhibited as a lottery-type stock's behavior in the Vietnam market.

목차

I. Introduction

II. Data and Methodology

III. Result

IV. Conclusions

Funding Statement

Conflicts of Interest

Author Contributions

References

키워드

Minimum daily returns Maximum daily return Lottery stocks Lottery mindsets Vietnam