earticle

논문검색

Lottery Mindset, Mispricing and Idiosyncratic Volatility Puzzle: Evidence from the Chinese Stock Market

원문정보

Hoang Van HAI, Jong Won PARK, Ping-Chen TSAI, Cheoljun EOM

한국재무학회 한국재무학회 학술대회 2020 재무금용 공동학술대회 자료집 2020.08 pp.804-824
피인용수 : 0건 (자료제공 : 네이버학술정보)

초록

영어

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.

목차

Abstract
Abstract
1. Introduction
2. Data and Methodology
3. Results
3.1. The MAX effect
3.2. Relationship of MAX with the mispricing and the idiosyncratic volatility
3.3. Robustness
3.4. Discussion
4. Conclusion
Appendix
References

키워드

저자정보

  • Hoang Van HAI The University of Da Nang, Campus in KonTum, Viet Nam, School of Business, Pusan National University, Busan 46241, Rep. of Korea
  • Jong Won PARK College of Business Administration, University of Seoul, Seoul 02504, Rep. of Korea
  • Ping-Chen TSAI Department of Finance, Southern Taiwan University of Science and Technology, Tainan City 710, Taiwan
  • Cheoljun EOM School of Business, Pusan National University, Busan 46241, Rep. of Korea

참고문헌

자료제공 : 네이버학술정보

    함께 이용한 논문

      ※ 기관로그인 시 무료 이용이 가능합니다.

      • 5,700원

      0개의 논문이 장바구니에 담겼습니다.