재무연구 제 권 호 (2020년 8월)
Asian Review of Financial Research, Vol., No..
pp.804~824
pp.804~824
Lottery Mindset, Mispricing and Idiosyncratic Volatility Puzzle: Evidence from the Chinese Stock Market
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
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.
Hoang Van HAI
Jong Won PARK
Ping-Chen TSAI
Cheoljun EOM
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.
MAX effect,Lottery mindset,Mispricing,Idiosyncratic volatility,Emerging stock market.
