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政大典藏 > College of Commerce > Department of Finance > Periodical Articles > Item 140.119/140171

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/140171

Title:	Time-dependent lottery preference and the cross-section of stock returns
Authors:	陳鴻毅 Chen, Hong-Yi Lin, Chaonan;Ko, Kuan-Cheng;Yang, Nien-Tzu
Contributors:	財管系
Keywords:	Lottery preference;Time dependence;Maximum daily returns;Stock returns
Date:	2021-12
Issue Date:	2022-05-26 16:22:01 (UTC+8)
Abstract:	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.
Relation:	Journal of Empirical Finance, Vol.64, pp.272-294
Data Type:	article
DOI link:	https://doi.org/10.1016/j.jempfin.2021.09.005
DOI:	10.1016/j.jempfin.2021.09.005
Appears in Collections:	[Department of Finance] Periodical Articles

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