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

Hoang Van Hai|Viet Anh Hoang|Ba Thanh Truong|Duong Viet Anh
사람과세계경영학회 (People&Global Business Association)|2024.05|Global Business and Finance Review|제29권 제4호|pp. 134-143|DOI 10.17549/gbfr.2024.29.4.134

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참고문헌

키워드

VietnamMinimum daily returnsMaximum daily returnLottery stocksLottery mindsets

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.

Abstract

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.

참고문헌 (47)

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