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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/140171


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    題名: Time-dependent lottery preference and the cross-section of stock returns
    作者: 陳鴻毅
    Chen, Hong-Yi
    Lin, Chaonan;Ko, Kuan-Cheng;Yang, Nien-Tzu
    貢獻者: 財管系
    關鍵詞: Lottery preference;Time dependence;Maximum daily returns;Stock returns
    日期: 2021-12
    上傳時間: 2022-05-26 16:22:01 (UTC+8)
    摘要: Highlighting the importance of benchmark to identify lottery-like payoffs of stocks, this study proposes that investors’ lottery preference is formed toward tracking stocks’ performance over time. Accordingly, we develop a strategy based on time-dependent maximum daily return (denoted as TMAX) by buying (short selling) stocks with the most recent maximum daily returns (MAX) ranked in the bottom (top) decile of the historical distribution. The TMAX strategy generates significant premium that subsumes the profitability of Bali, Cakici, and Whitelaw’s (2011) MAX strategy, but not vice versa. A major advantage of the TMAX strategy is its time-invariant profitability across different periods and sentiment states. Further analyses show that the TMAX premium can be explained by shorting flow and behavioral theories, supporting the time-dependent feature of lottery preference.
    關聯: Journal of Empirical Finance, Vol.64, pp.272-294
    資料類型: article
    DOI 連結: https://doi.org/10.1016/j.jempfin.2021.09.005
    DOI: 10.1016/j.jempfin.2021.09.005
    顯示於類別:[財務管理學系] 期刊論文

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